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Break date estimation and cointegration testing in VAR processes with level shift
Saikkonen, Pentti (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002113171
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Testing for the cointegrating rank of a VAR process with level shift and trend break
Trenkler, Carsten (contributor);  … - 2006
A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic...
Persistent link: https://www.econbiz.de/10003376003
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Break date estimation for VAR processes with level shift with an application to cointegration testing
Saikkonen, Pentti; Lütkepohl, Helmut; Trenkler, Carsten - In: Econometric theory 22 (2006) 1, pp. 15-68
Persistent link: https://www.econbiz.de/10003272608
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Specification of varying coefficient time series models via generalized flexible least squares
Lütkepohl, Helmut; Herwartz, Helmut - 1992
Persistent link: https://www.econbiz.de/10000335042
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Investigating stability and linearity of a German M1 money demand function
Lütkepohl, Helmut; Teräsvirta, Timo; Wolters, Jürgen - 1995
Persistent link: https://www.econbiz.de/10000917361
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Testing for nonnormality of autoregressive time series
Lütkepohl, Helmut; Schneider, Wolfgang - 1988
Persistent link: https://www.econbiz.de/10000743536
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Confidence intervals for impulse responses from VAR models : a comparison of asymptotic theory and simulation approaches
Griffiths, William E.; Lütkepohl, Helmut - 1990
Persistent link: https://www.econbiz.de/10000796087
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Impulse response analysis of co-integrated systems
Lütkepohl, Helmut; Reimers, Hans-Eggert - 1989
Persistent link: https://www.econbiz.de/10000769055
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Consistent estimation of the number of cointegration relations in a vector autoregressive model
Lütkepohl, Helmut - In: Econometrics in theory and practice : Festschrift for …, (pp. 87-100). 1998
Persistent link: https://www.econbiz.de/10001301453
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Impulse response analysis in infinite order cointegrated vector autoregressive processes
Lütkepohl, Helmut - In: Journal of econometrics 81 (1997) 1, pp. 127-157
Persistent link: https://www.econbiz.de/10001336799