scientific article; zbMATH DE number 1329169

MaRDI QIDQ4257540zbMATH OpenFDO

Authors Helmut Lütkekpohl, D. S. Poskitt

Publication date 7 August 2000

zbMATH Keywords

cointegration rankvector autoregressive model

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Recommendations

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Cited in

(6)

• DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION
• Determining the cointegration rank in heteroskedastic VAR models of unknown order
• SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION
• THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
• A simple cointegrating rank test without vector autoregression
• Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application

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