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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

Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term

Demetrescu, Matei; Lütkepohl, Helmut; Saikkonen, Pentti - In: The econometrics journal 12 (2009) 3, pp. 414-435

Persistent link: https://www.econbiz.de/10008336838

Testing for the Cointegrating Rank of a VAR Process With Structural Shifts

Saikkonen, Pentti; Lütkepohl, Helmut - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 4, pp. 451-464

Persistent link: https://www.econbiz.de/10008217600

ARTICLES - Local Power of Likelihood Ratio Tests for the Cointegrating Rank of a VAR Process

Saikkonen, Pentti; Lütkepohl, Helmut - In: Econometric theory 15 (1999) 1, pp. 50-78

Persistent link: https://www.econbiz.de/10006989825

Infinite-Order Cointegrated Vector Autoregressive Processes: Estimation and Inference

Saikkonen, Pentti; Lütkepohl, Helmut - In: Econometric theory 12 (1996) 5, pp. 814-844

Persistent link: https://www.econbiz.de/10007002486

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time

Saikkonen, Pentti; Lütkepohl, Helmut - In: Econometric theory 18 (2002) 2, pp. 313-348

Persistent link: https://www.econbiz.de/10006974575

ARTICLES - Testing for the Cointegrating Rank of a VAR Process with an Intercept

Saikkonen, Pentti; Lütkepohl, Helmut - In: Econometric theory 16 (2000) 3, pp. 373-406

Persistent link: https://www.econbiz.de/10006983609

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

Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term

Demetrescu, Matei; Lütkepohl, Helmut; Saikkonen, Pentti - In: Econometrics Journal 12 (2009) 3, pp. 414-435

When applying Johansen's procedure for determining the cointegrating rank to systems of variables with linear deterministic trends, there are two possible tests to choose from. One test allows for a trend in the cointegration relations and the other one restricts the trend to being orthogonal to...

Persistent link: https://www.econbiz.de/10008469057

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