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Generalized reduced rank tests using the singular value decomposition
Kleibergen, Frank; Paap, Richard - In: Journal of econometrics 133 (2006) 1, pp. 97-126
Persistent link: https://www.econbiz.de/10003354557
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Semiparametric cointegrating rank selection
Cheng, Xu (contributor); Phillips, Peter C. B. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003767412
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A "maximum-eigenvalue" test for the cointegration ranks in I(2) vector autoregressions
Bohn Nielsen, Heino - In: Economics letters 94 (2007) 3, pp. 445-451
Persistent link: https://www.econbiz.de/10003437679
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Semiparametric cointegrating rank selection
Cheng, Xu; Phillips, Peter C. B. - In: The econometrics journal 12 (2009), pp. 83-104
Persistent link: https://www.econbiz.de/10003876315
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Bootstrap algorithms for testing and determining the cointegration rank in VAR models
Swensen, Anders Rygh - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 6, pp. 1699-1714
Persistent link: https://www.econbiz.de/10003392390
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Reciprocal upper semicontinuity and better reply secure games : a comment
Bagh, Adib; Jofré, Alejandro - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 6, pp. 1715-1721
Persistent link: https://www.econbiz.de/10003394280
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Detection of switching cointegration rank allowing for switching lag structure : an application to money-demand function
Fukuda, Kosei - In: Applied economics 40 (2008) 10/12, pp. 1571-1582
Persistent link: https://www.econbiz.de/10003743032
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Meta-analytic cointegrating rank tests for dependent panels
Karaman Örsal, Deniz Dilan; Arsova, Antonia - 2015
This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The dependence in the data generating process is modeled using unobserved common factors. The new tests are based on a metaanalytic approach, in which the p-values of the individual...
Persistent link: https://www.econbiz.de/10011392830
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Co-integration rank determination in partial systems using information criteria
Cavaliere, Giuseppe; De Angelis, Luca; Fanelli, Luca - In: Oxford bulletin of economics and statistics 80 (2018) 1, pp. 65-89
Persistent link: https://www.econbiz.de/10011969541
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Determining the cointegration rank in heteroskedastic VAR models of unknown order
Cavaliere, Giuseppe; De Angelis, Luca; Rahbek, Anders; … - In: Econometric theory 34 (2018) 2, pp. 349-382
Persistent link: https://www.econbiz.de/10011950959