Tests for cointegration rank and choice of the alternative

DOI10.1007/s10260-007-0084-2zbMath1405.62114OpenAlexW2082179565MaRDI QIDQ734469

Paolo Paruolo, Giuseppe Cavaliere, Luca Fanelli

Publication date: 13 October 2009

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-007-0084-2

zbMATH Keywords

Brownian motionlikelihood ratiounit rootsasymptotic powercointegration rank

Mathematics Subject Classification ID

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

Related Items (1)

On Monte Carlo estimation of relative power

Cites Work

• Unnamed Item
• LR cointegration tests when some cointegrating relations are known
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
• TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
• Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
• On Monte Carlo estimation of relative power
• Admissibility of the Likelihood Ratio Test when the Parameter Space is Restricted under the Alternative
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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