Tests for cointegration rank and choice of the alternative
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Publication:734469
DOI10.1007/S10260-007-0084-2zbMATH Open1405.62114OpenAlexW2082179565MaRDI QIDQ734469FDOQ734469
Authors: Giuseppe Cavaliere, Luca Fanelli, Paolo Paruolo 
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
Recommendations
- 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
- Improved likelihood ratio tests for cointegration rank in the VAR model
- LR cointegration tests when some cointegrating relations are known
- The likelihood ratio test for cointegration ranks in the I(2) model
Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Title not available (Why is that?)
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- 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
- Admissibility of the Likelihood Ratio Test when the Parameter Space is Restricted under the Alternative
- On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
- On Monte Carlo estimation of relative power
- LR cointegration tests when some cointegrating relations are known
Cited In (7)
- On Monte Carlo estimation of relative power
- THE RANK OF A SUBMATRIX OF COINTEGRATION
- Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses
- On determination of cointegration ranks
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
- The likelihood ratio test for cointegration ranks in the I(2) model
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