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Mixed signals among tests for cointegration
Gregory, Allan W.; Haug, Alfred Albert; Lomuto, Nicoletta - In: Journal of applied econometrics 19 (2004) 1, pp. 89-98
Persistent link: https://www.econbiz.de/10001924682
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Testing for linear and non-linear causality in spot and future prices of national multi-commodity indices
Shah, Paresh - In: Research bulletin / The Institute of Cost Accountants … 41 (2015) 3, pp. 174-185
Persistent link: https://www.econbiz.de/10011543236
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Education expenditures and human capital: can austerity compromise growth in Portugal?
Amaral, Sofia; Simões, Marta - In: International journal of business and globalisation : IJBG 22 (2019) 4, pp. 696-715
Persistent link: https://www.econbiz.de/10012107005
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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
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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
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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
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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
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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 - 2001
Persistent link: https://www.econbiz.de/10001618757
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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
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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