Similar Search Results

Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes

Saikkonen, Pentti - In: Econometric reviews 18 (1999) 3, pp. 235-257

Persistent link: https://www.econbiz.de/10001404807

Weak exogeneity in I(2) VAR systems

Paruolo, Paolo; Rahbek, Anders - In: Journal of econometrics 93 (1999) 2, pp. 281-308

Persistent link: https://www.econbiz.de/10001406658

Modified lag augmented vector autoregressions

Kurozumi, Eiji; Yamamoto, Taku - In: Econometric reviews 19 (2000) 2, pp. 207-231

Persistent link: https://www.econbiz.de/10001483709

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2000

Persistent link: https://www.econbiz.de/10001543855

Testing for common cyclical features in VAR models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

Persistent link: https://www.econbiz.de/10001590410

Testing for common cyclical features in VAR models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

We consider VAR models for variables exhibiting cointegration and comon cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …

Persistent link: https://www.econbiz.de/10001590471