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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Likelihood-Based Inference for Weak Exogeneity inI(2) Cointegrated VAR Models, Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate, Testing the equality of several linear regression models, A ``maximum-eigenvalue test for the cointegration ranks in \(I(2)\) vector autoregressions, Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data, A residual-based ADF test for stationary cointegration in I(2) settings, MODELLING TIME SERIES DATA OF MONETARY AGGREGATES USINGI(2) ANDI(1) COINTEGRATION ANALYSIS, An I(2) cointegration model with piecewise linear trends
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
