Improved likelihood ratio tests for cointegration rank in the VAR model

DOI10.1016/j.jeconom.2014.08.007zbMath1332.62295MaRDI QIDQ473351

H. Peter Boswijk, Michael Jansson, Morten Ørregaard Nielsen

Publication date: 24 November 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/274617/files/qed_wp_1297.pdf

zbMATH Keywords

likelihood ratio test; efficiency; cointegration rank; vector autoregression

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M07: Non-Markovian processes: hypothesis testing

Uses Software

• Ox