Add to ORKGThis paper proposes several parametric hypothesis tests to determine the cointegration rank in multivariate time series expressed as vector ARMA models. The tests are constructed based on the instrumental variables (Ⅳ) method. It is established that adopting critical values for the standard Johansen likelihood ratio (LR) test is valid in that the same limiting distribution reached. Some Monte Carlo experiments also show that the proposed tests exhibit sufficiently desirable finite sample performances
Abstract Tests for cointegration are developed using multivariate M estimators. The tests are based ...
This publication is with permission of the rights owner freely accessible due to an Alliance licence...
This paper analyses the likelihood ratio test for the hypothesis of reduced cointegration rank in a ...
This paper proposes several parametric hypothesis tests to determine the cointegration rank in multi...
This paper considers a test of the rank of cointegration. The test is based on the fact that in an m...
Abstract: This paper presents the likelihood ratio (LR) test for the number of cointegrating and mul...
We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develo...
First version issued: 2005-11This paper considers a test of the rank of cointegration. The test is b...
Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. I...
This paper derives a new test for the cointegrating rank in vector autoregressive (VAR) models that ...
This paper considers pseudomaximum likelihood estimators for vector autoregressive models. These est...
Abstract This paper considers a test of the rank of cointegration. The test is based on the fact tha...
We suggest improved tests for cointegration rank in the vector au- toregressive (VAR) model and deve...
A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift an...
P>When applying Johansen's procedure for determining the cointegrating rank to systems of variables ...
Abstract Tests for cointegration are developed using multivariate M estimators. The tests are based ...
This publication is with permission of the rights owner freely accessible due to an Alliance licence...
This paper analyses the likelihood ratio test for the hypothesis of reduced cointegration rank in a ...
This paper proposes several parametric hypothesis tests to determine the cointegration rank in multi...
This paper considers a test of the rank of cointegration. The test is based on the fact that in an m...
Abstract: This paper presents the likelihood ratio (LR) test for the number of cointegrating and mul...
We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develo...
First version issued: 2005-11This paper considers a test of the rank of cointegration. The test is b...
Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. I...
This paper derives a new test for the cointegrating rank in vector autoregressive (VAR) models that ...
This paper considers pseudomaximum likelihood estimators for vector autoregressive models. These est...
Abstract This paper considers a test of the rank of cointegration. The test is based on the fact tha...
We suggest improved tests for cointegration rank in the vector au- toregressive (VAR) model and deve...
A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift an...
P>When applying Johansen's procedure for determining the cointegrating rank to systems of variables ...
Abstract Tests for cointegration are developed using multivariate M estimators. The tests are based ...
This publication is with permission of the rights owner freely accessible due to an Alliance licence...
This paper analyses the likelihood ratio test for the hypothesis of reduced cointegration rank in a ...