On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
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Publication:4451549
DOI10.1081/ETC-120028834zbMATH Open1082.62520MaRDI QIDQ4451549FDOQ4451549
Authors: Bent Nielsen 
Publication date: 26 February 2004
Published in: Econometric Reviews (Search for Journal in Brave)
Recommendations
- Improved likelihood ratio tests for cointegration rank in the VAR model
- Statistical analysis of cointegration vectors
- LR cointegration tests when some cointegrating relations are known
- APPROXIMATION OF THE ASYMPTOTIC DISTRIBUTION OF THE LOG LIKELIHOOD RATIO TEST FOR COINTEGRATION
- Numerical aspects of a likelihood ratio test statistic for cointegrating rank
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Cites Work
- Title not available (Why is that?)
- Properties of sufficiency and statistical tests
- A GENERAL METHOD FOR APPROXIMATING TO THE DISTRIBUTION OF LIKELIHOOD RATIO CRITERIA
- RELATIONS BETWEEN TWO SETS OF VARIATES
- Statistical analysis of cointegration vectors
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Local asymptotic distribution related to the AR(1) model with dependent errors
- Trend stationarity in the \(I(2)\) cointegration model.
- On the determination of integration indices in I(2) systems
- A Stastistical Analysis of Cointegration for I(2) Variables
- Efficient Tests for an Autoregressive Unit Root
- VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
- A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
- Miscellanea. Bartlett correction of the unit root test in autoregressive models
- Approximate Conditional Unit Root Inference
- TESTS OF SIGNIFICANCE IN CANONICAL ANALYSIS
- Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time- series model
- Conditional test for rank in bivariate canonical correlation analysis
- The likelihood-ratio test for rank in bivariate canonical correlation analysis
- The order of the error term for moments of the log likelihood ratio unit root test in an autoregressive process
- The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes
Cited In (12)
- Bartlett correction in the stable second-order autoregressive model with intercept and trend
- Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression
- THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
- Tests for cointegration rank and choice of the alternative
- Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
- Improved likelihood ratio tests for cointegration rank in the VAR model
- Mixed normal inference on multicointegration
- Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
- APPROXIMATION OF THE ASYMPTOTIC DISTRIBUTION OF THE LOG LIKELIHOOD RATIO TEST FOR COINTEGRATION
- Local power of likelihood-based tests for cointegrating rank: comparative analysis of full and partial systems
- Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
- The likelihood ratio test for cointegration ranks in the I(2) model
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