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Generalized reduced rank tests using the singular value decomposition

Kleibergen, Frank (contributor); Paap, Richard (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001783481

Generalized reduced rank tests using the singular value decomposition

Kleibergen, Frank; Paap, Richard - 2003

Persistent link: https://www.econbiz.de/10001726809

A note on joint estimation of common cycles and common trends in nonstationary multivariate systems

Kapetanios, George (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001866987

A new nonparametric test of cointegration rank

Kapetanios, George (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001867121

Testing the rank of a sub-matrix of cointegration with a deterministic trend

Kurozumi, Eiji (contributor) - 2003

Persistent link: https://www.econbiz.de/10002530567

Testing for the cointegration rank when some cointegrating directions are changing

Andrade, Philippe; Bruneau, Catherine; Grégoir, Stéphane - In: Journal of econometrics 124 (2005) 2, pp. 269-310

Persistent link: https://www.econbiz.de/10002515549

The rank of a submatrix of cointegration

Kurozumi, Eiji - In: Econometric theory 21 (2005) 2, pp. 299-325

Persistent link: https://www.econbiz.de/10002740620

Semiparametric Cointegrating Rank Selection

Cheng, Xu; Phillips, Peter C. B. - 2008

sympathetic with semiparametric estimation approaches to cointegration analysis. Some simulations results on nite sample …

Persistent link: https://www.econbiz.de/10014217971

Advantages of Non-Normality in Testing Cointegration Rank

Chan, Felix - 2013

Since the seminal work of Engle and Granger (1987) and Johansen (1988), testing for cointegration has become standard … practice in analysing economic and financial time series data. Many of the techniques in cointegration analysis require the …-varying second moments and it is unclear how these characteristics affect the standard test of cointegration, such as Johansen …

Persistent link: https://www.econbiz.de/10013086146

The lending-deposit rate relationship in Eastern European countries : evidence from the rank test for non-linear cointegration

Chang, Hsu-Ling; Su, Chi-Wei - In: Finance a úvěr 60 (2010) 6, pp. 534-544

Persistent link: https://www.econbiz.de/10009009934