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Improved likelihood ratio tests for cointegration rank in the VAR model

Boswijk, Herman Peter; Jansson, Michael; Nielsen, … - In: Journal of econometrics 184 (2015) 1, pp. 97-110

Persistent link: https://www.econbiz.de/10011326813

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 … local power of the proposed tests dominates that of existing cointegration rank tests. -- Cointegration rank ; efficiency …

Persistent link: https://www.econbiz.de/10009621711

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

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

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 … local power of the proposed tests dominates that of existing cointegration rank tests …

Persistent link: https://www.econbiz.de/10013100419

Semiparametric tests for the order of integration in the possible presence of level breaks

Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - 2020

Lobato and Robinson (1998) develop semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. These tests have the advantage that the user is not required to specify a parametric model for...

Persistent link: https://www.econbiz.de/10012243070