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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) 2, pp. 287-310
Persistent link: https://www.econbiz.de/10007483852
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BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS
Trenkler, Carsten - In: Econometric theory 25 (2009) 1, pp. 243-269
Persistent link: https://www.econbiz.de/10008163714
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ON THE PROPERTIES OF SOME TESTS FOR COMMON STOCHASTIC TRENDS
Breitung, Jörg; Trenkler, Carsten - In: Econometric theory 18 (2002) 6, pp. 1336-1349
Persistent link: https://www.econbiz.de/10006972304
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Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion
Cavaliere, Giuseppe; Taylor, A. M. Robert; Trenkler, Carsten - In: Econometric reviews 32 (2013) 7, pp. 814-847
Persistent link: https://www.econbiz.de/10010088588
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Testing for codependence of cointegrated variables
Trenkler, Carsten; Weber, Enzo - In: Applied economics 45 (2013) 15, pp. 1953-1964
Persistent link: https://www.econbiz.de/10010053471
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Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 2, pp. 647-662
Persistent link: https://www.econbiz.de/10006758448
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Comparison of tests for the cointegrating rank of a VAR process with a structural shift
Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - In: Journal of econometrics 113 (2003) 2, pp. 201-230
Persistent link: https://www.econbiz.de/10006763324
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BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
Saikkonen, Pentti; Lütkepohl, Helmut; Trenkler, Carsten - In: Econometric theory 22 (2006) 1, pp. 15-68
Persistent link: https://www.econbiz.de/10006955265