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A systems cointegration rank test is proposed which is applicable for vector autoregressive (VAR) processes with a …
Persistent link: https://www.econbiz.de/10010983447
Two different types of tests for the cointegrating rank of VAR processes with a deterministic shift in the level have been proposed in the literature. The first proposal is based on the LR principle using a specific Gaussian model set-up. In the second proposal the time series are adjusted for...
Persistent link: https://www.econbiz.de/10010983737