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Testing for codependence of non-stationary variables
Trenkler, Carsten; Weber, Enzo - 2010
Persistent link: https://www.econbiz.de/10008697059
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Order selection in testing for the cointegrating rank of a VAR process
Lütkepohl, Helmut; Saikkonen, Pentti - 1997
The impact of the choice of the lag length on tests for the number of cointegration relations in a vector … simulation study we find that small sample power and size of LR cointegration tests strongly depend on the choice of the lag …
Persistent link: https://www.econbiz.de/10009660377
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Improved likelihood ratio tests for cointegration rank in the VAR model
Boswijk, Herman Peter; Jansson, Michael; Nielsen, … - 2012
We suggest improved tests for cointegration rank in the vector au- toregressive (VAR) model and develop asymptotic … distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of … local power of the proposed tests dominates that of existing cointegration rank tests. -- Cointegration rank ; efficiency …
Persistent link: https://www.econbiz.de/10009621711
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Improved likelihood ratio tests for cointegration rank in the VAR model
Boswijk, Herman Peter; Jansson, Michael; Nielsen, … - 2012
Persistent link: https://www.econbiz.de/10009621930
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Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2000
The properties of a range of maximum eigenvalue and trace tests for the cointegrating rank of a vector autoregressive process are compared. The tests are alilikelihood ratio type tests and operate under different assumptions regarding the deterministic part of the data generation process. The...
Persistent link: https://www.econbiz.de/10009612040
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Testing for the cointegration rank of a VAR process with level shift and trend break
Trenkler, Carsten (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003397947
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Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
Boswijk, H. Peter - 2012
We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic … distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of … local power of the proposed tests dominates that of existing cointegration rank tests …
Persistent link: https://www.econbiz.de/10013100419
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Testing Weak Exogeneity in Cointegrated Panels
Moral-Benito, Enrique - 2013
weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first …
Persistent link: https://www.econbiz.de/10013082067
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Testing Weak Exogeneity in Cointegrated Panels
Moral-Benito, Enrique - 2017
weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first …
Persistent link: https://www.econbiz.de/10012972704
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Improved likelihood ratio tests for cointegration rank in the VAR model
Boswijk, Herman Peter; Jansson, Michael; Nielsen, … - 2012
Persistent link: https://www.econbiz.de/10010191001