LÜTKEPOHL, HELMUT; SAIKKONEN, PENTTI; TRENKLER, CARSTEN - In: Econometrics Journal 4 (2001) 2, pp. 8-8
The properties of a range of maximum eigenvalue and trace tests for the coin-tegrating rank of a vector autoregressive process are compared. The tests are all likelihood-ratio-type tests and operate under different assumptions regarding the deterministic part of the data generation process. The...