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Testing for codependence of non-stationary variables
Trenkler, Carsten; Weber, Enzo - 2010
Persistent link: https://www.econbiz.de/10008697059
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Testing Weak Exogeneity in Cointegrated Panels
Moral-Benito, Enrique - 2014
weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first …
Persistent link: https://www.econbiz.de/10011396326
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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
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Trend adjustment prior to testing for the cointegrating rank of a VAR process
Saikkonen, Pentti; Lütkepohl, Helmut - 1997
Testing the cointegrating rank of a vector autoregressive process which may have a deterministic linear trend is considered. Previous proposals for dealing with such a situation are either to allow for a deterministic trend term in computing a suitable test statistic or else remove the linear...
Persistent link: https://www.econbiz.de/10009659627
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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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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 … distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of … local power of the proposed tests dominates that of existing cointegration rank tests. -- Cointegration rank ; efficiency …
Persistent link: https://www.econbiz.de/10009621711
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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
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A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
Swensen, Anders Rygh - In: Journal of econometrics 165 (2011) 2, pp. 152-162
Persistent link: https://www.econbiz.de/10009409699
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Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2000
The properties of a range of maximum eigenvalue and trace tests for the cointegrating rank of a vector autoregressive process are compared. The tests are alilikelihood ratio type tests and operate under different assumptions regarding the deterministic part of the data generation process. The...
Persistent link: https://www.econbiz.de/10009612040
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Testing weak exogeneity in VECM
Chen, Pu - 2003
Persistent link: https://www.econbiz.de/10002169049