Testing for the cointegrating rank of a var process with level shift at unknown time
Year of publication: |
2004
|
---|---|
Authors: | Lütkepohl, Helmut ; Saikkonen, Pentti ; Trenkler, Carsten |
Published in: |
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 72.2004, 2, p. 647-662
|
Subject: | Kointegration | Cointegration | VAR-Modell | VAR model | Statistischer Test | Statistical test | Theorie | Theory |
-
Testing for codependence of non-stationary variables
Trenkler, Carsten, (2010)
-
Testing Weak Exogeneity in Cointegrated Panels
Moral-Benito, Enrique, (2014)
-
Improved likelihood ratio tests for cointegration rank in the VAR model
Boswijk, Herman Peter, (2015)
- More ...
-
Comparison of tests for the cointegrating rank of a VAR process with a structural shift
Lütkepohl, Helmut, (2000)
-
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
Lütkepohl, Helmut, (2000)
-
Testing for the cointegrating rank of a VAR process with level shift at unknown time
Lütkepohl, Helmut, (2001)
- More ...