LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS

DOI10.1017/S026646669915103XzbMath0934.62093OpenAlexW2126369420MaRDI QIDQ4700853

Pentti Saikkonen, Helmut Lütkepohl

Publication date: 19 December 1999

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646669915103x

zbMATH Keywords

vector autoregressive processlocal power

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

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