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Local power of likelihood ratio tests for the cointegrating rank of a VAR process
Saikkonen, Pentti; Lütkepohl, Helmut - 1997
Likelihood ratio (LR) tests for the cointegrating rank of a vector autoregressive (VAR) process have been developed under different assumptions regarding deterministic terms. For instance, nonzero mean terms and linear trends have been accounted for in some of the tests. In this paper we provide...
Persistent link: https://www.econbiz.de/10009659070
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On cointegration test for VAR models with drift
Yang, Minxian; Bewley, Ronald A. - 1995
Persistent link: https://www.econbiz.de/10000917803
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Recursive adjustment for general deterministic components and improved cointegration rank tests
Born, Benjamin; Demetrescu, Matei - In: Journal of time series econometrics 7 (2015) 2, pp. 143-179
Persistent link: https://www.econbiz.de/10011291306
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A homogeneous approach to testing for granger non-causality in heterogeneous panels
Juodis, Artūras; Karavias, Yiannis; Sarafidis, Vasilis - 2020
Persistent link: https://www.econbiz.de/10012610528
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Can you do the wrong thing and still be right? : hypothesis testing in I(2) and near-I(2) cointegrated VARs
Di Iorio, Francesca; Fachin, Stefano; Lucchetti, Riccardo - In: Applied economics 48 (2016) 37/39, pp. 3665-3678
Persistent link: https://www.econbiz.de/10011621158
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A homogeneous approach to testing for Granger non-causality in heterogeneous panels
Juodis, Artūras; Karavias, Yiannis; Sarafidis, Vasilis - In: Empirical economics : a quarterly journal of the … 60 (2021) 1, pp. 93-112
Persistent link: https://www.econbiz.de/10012488894
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Johansen test with Fourier-type smooth nonlinear trends in cointegrating relations
Kurita, Takamitsu; Shintani, Mototsugu - 2023
Persistent link: https://www.econbiz.de/10014383879
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Granger causality testing in high-dimensional VARs : a post-double-selection procedure
Hecq, Alain W. J.; Margaritella, Luca; Smeekes, Stephan - In: Journal of financial econometrics 21 (2023) 3, pp. 915-958
Persistent link: https://www.econbiz.de/10014314841
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Three essays on unit roots and nonlinear co-integrated processes
Gaul, Jürgen - 2008
Persistent link: https://www.econbiz.de/10003773152
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The performance of panel cointegration methods : results from a large scale simulation study
Wagner, Martin; Hlouskova, Jaroslava - In: Econometric reviews 29 (2010) 2, pp. 182-223
Persistent link: https://www.econbiz.de/10003960501