Similar Search Results

Residual autocorrelation testing for vector error correction models

Brüggermann, Ralf (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001934577

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

Comparison of tests for the cointegrative rank of a VAR process with a structural shift

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

Persistent link: https://www.econbiz.de/10001470724

Testing for the cointegrating rank of a VAR process with an intercept

Saikkonen, Pentti; Lütkepohl, Helmut - 1998

Persistent link: https://www.econbiz.de/10000992267

Testing for the cointegrating rank of a VAR process with structural shifts

Saikkonen, Pentti; Lütkepohl, Helmut - 1998

Persistent link: https://www.econbiz.de/10000996285

A review of systems cointegration tests

Hubrich, Kirsten; Lütkepohl, Helmut; Saikkonen, Pentti - 1998

Persistent link: https://www.econbiz.de/10000998094

Testing for unit roots in time series with level shifts

Saikkonen, Pentti; Lütkepohl, Helmut - 1999

Persistent link: https://www.econbiz.de/10001373296

Unit root tests for time series with a structural break when the break point is known

Lütkepohl, Helmut; Müller, Christian; Saikkonen, Pentti - 1999

Persistent link: https://www.econbiz.de/10001377700

Testing identification via heteroskedasticity in structural vector autoregressive models

Lütkepohl, Helmut; Meitz, Mika; Nets̆unajev, Aleksei; … - 2018

Tests for identification through heteroskedasticity in structural vector autoregressive analysis are developed for models with two volatility states where the time point of volatility change is known. The tests are Wald type tests for which only the unrestricted model including the covariance...

Persistent link: https://www.econbiz.de/10011916918

Forecasting aggregates and aggregating forecasts

Lütkepohl, Helmut - 1982

Persistent link: https://www.econbiz.de/10000072810