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Numerical distribution functions of likelihood ratio tests for cointegration

MacKinnon, James G.; Haug, Alfred Albert; Michelis, Leo - In: Journal of applied econometrics 14 (1999) 5, pp. 563-577

Persistent link: https://www.econbiz.de/10001421501

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

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

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - In: The econometrics journal 4 (2001) 4, pp. 287-310

Persistent link: https://www.econbiz.de/10001651359

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

Testing Weak Exogeneity in Cointegrated Panels

Moral-Benito, Enrique; Serven, Luis - 2015

weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first …

Persistent link: https://www.econbiz.de/10012564342

Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model

Boswijk, H. Peter - 2012

We suggest improved tests for cointegration rank in the vector autoregressive (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 …

Persistent link: https://www.econbiz.de/10013100419

Testing Weak Exogeneity in Cointegrated Panels

Moral-Benito, Enrique - 2013

weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first …

Persistent link: https://www.econbiz.de/10013082067

Testing Weak Exogeneity in Cointegrated Panels

Moral-Benito, Enrique - 2017

weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first …

Persistent link: https://www.econbiz.de/10012972704