THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL
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Publication:2886961
DOI10.1017/S0266466607070272zbMath1274.62608MaRDI QIDQ2886961
Heino Bohn Nielsen, Anders Rahbek
Publication date: 14 May 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466607070272
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M07: Non-Markovian processes: hypothesis testing
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Cites Work
- Statistical analysis of hypotheses on the cointegrating relations in the \(I(2)\) model
- Trend stationarity in the \(I(2)\) cointegration model.
- Weak exogeneity in \(I(2)\) VAR systems
- On the determination of integration indices in I(2) systems
- Likelihood Analysis of the I(2) Model
- An I(2) cointegration analysis of small‐country import price determination
- A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model