Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
Year of publication: |
2012-09-19
|
---|---|
Authors: | Boswijk, H. Peter ; Jansson, Michael ; Nielsen, Morten Ørregaard |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Cointegration rank | efficiency | likelihood ratio test | vector autoregression |
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