handling of cointegration restrictions. This paper extends the Bayesian analysis of structural VARs to cover cointegrated … processes with an arbitrary number of cointegrating relations and general linear restrictions on the cointegration space. A …

Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes …. -- Cointegrated VAR ; unit root approximation ; economic theory models ; expectations ; hybrid new Keynesian Phillips curve ; general …

corresponding Gaussian likelihood ratio test for the cointegrating rank. -- Cointegration ; structural break ; vector autoregressive …

test for cointegration rank, which is a functional of fractional Brownian motion of type II. -- Cofractional processes … ; cointegration rank ; fractional cointegration ; likelihood inferencw ; vector autoregressive model …

) processes. The linear VAR model is extendedto permit cointegration, a range of deterministic processes, equilibrium restrictions …

for size correction. -- Cointegration ; weak exogeneity ; bootstrap test ; Subset VECM …

We suggest improved tests for cointegration rank in the vector au- toregressive (VAR) model and develop asymptotic … distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of … local power of the proposed tests dominates that of existing cointegration rank tests. -- Cointegration rank ; efficiency …