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Testing for the cointegrating rank of a VAR process with an intercept
Saikkonen, Pentti; Lütkepohl, Helmut - 1998
Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius and others we also consider an alternative class of tests which is based on estimating the trend parameters of the...
Persistent link: https://www.econbiz.de/10009578014
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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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Testing for two-step Granger noncausality in trivariate VAR models
Giles, Judith A. - In: Handbook of applied econometrics and statistical inference, (pp. 371-399). 2002
Persistent link: https://www.econbiz.de/10001701983
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Application of bootstrap methods in investigation of size of the Granger causality test for integrated VAR systems
Lach, Łukasz - In: Managing global transitions : international research journal 8 (2010) 2, pp. 167-186
Persistent link: https://www.econbiz.de/10009568035
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Testing for the cointegrating rank of a VAR process with level shift and trend break
Trenkler, Carsten (contributor);  … - 2006
corresponding Gaussian likelihood ratio test for the cointegrating rank. -- Cointegration ; structural break ; vector autoregressive …
Persistent link: https://www.econbiz.de/10003376003
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Identification of the connection between tourism demand and economic growth in ASEAN-3
Satawat Wannapan; Chukiat Chaiboonsri; Songsak Sriboonchitta - In: International journal of trade and global markets 11 (2018) 1/2, pp. 12-20
Persistent link: https://www.econbiz.de/10011973780
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Exports as a determinant of long-run growth in Paraguay, 1966 - 96
Richards, Donald G. - In: The journal of development studies : JDS 38 (2001) 1, pp. 128-146
Persistent link: https://www.econbiz.de/10001622261
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Unit roots and all that : the impact of time-series methods on macroeconomics
Smith, Ron - 2000
Persistent link: https://www.econbiz.de/10001542801
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Unit roots and all that : the impact of time-series methods on macroeconomics
Smith, Ron - In: The journal of economic methodology 6 (1999) 2, pp. 239-258
Persistent link: https://www.econbiz.de/10001428835
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Unit roots and all that : the impact of time-series methods on macroeconomics
Smith, Ron - 2000
Persistent link: https://www.econbiz.de/10003037715