Add to ORKGIn this paper we consider the test of the rank of the sub-matrix of b, the cointegrating matrix, when the process has a deterministic linear trend. We review the problem of the testing procedure proposed by Kurozumi (2003) and give the alternative test statistic that is symptotically chi-square distributed. We also propose the test of the rank of the sub-matrix of d, the orthogonal matrix to b. Monte Carlo simulations show that our tests proposed in this paper work fairly well in finite samples even when the tests proposed by Kurozumi (2003) perform poorly.15, [2] p
We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies...
We consider cointegration tests in the situation where the cointegration rank is deficient. This sit...
This paper provides pseudo-Gaussian and locally optimal rank-based tests for the cointegration rank ...
In this paper we consider the test of the rank of the sub-matrix of b, the cointegrating matrix, whe...
This paper proposes a test of the rank of the sub-matrix of b, where b is a cointegrating matrix. In...
This paper proposes a test of the rank of the submatrix of b, where b is a cointe-grating matrix+ In...
This paper proposes a likelihood ratio test for rank deficiency of a submatrix of the cointegrating ...
P>When applying Johansen's procedure for determining the cointegrating rank to systems of variables ...
Many economic events involve initial observations that substantially deviate from long-run steady st...
This paper discusses likelihood-ratio (LR) tests on the cointegrating (CI) rank which consider any ...
This paper discusses likelihood-ratio (LR) tests on the cointegrating (CI) rank which consider any ...
This paper considers a test of the rank of cointegration. The test is based on the fact that in an m...
We develop a sequence of tests for specifying the cointegrating rank of, possibly fractional, multip...
First version issued: 2005-11This paper considers a test of the rank of cointegration. The test is b...
We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies...
We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies...
We consider cointegration tests in the situation where the cointegration rank is deficient. This sit...
This paper provides pseudo-Gaussian and locally optimal rank-based tests for the cointegration rank ...
In this paper we consider the test of the rank of the sub-matrix of b, the cointegrating matrix, whe...
This paper proposes a test of the rank of the sub-matrix of b, where b is a cointegrating matrix. In...
This paper proposes a test of the rank of the submatrix of b, where b is a cointe-grating matrix+ In...
This paper proposes a likelihood ratio test for rank deficiency of a submatrix of the cointegrating ...
P>When applying Johansen's procedure for determining the cointegrating rank to systems of variables ...
Many economic events involve initial observations that substantially deviate from long-run steady st...
This paper discusses likelihood-ratio (LR) tests on the cointegrating (CI) rank which consider any ...
This paper discusses likelihood-ratio (LR) tests on the cointegrating (CI) rank which consider any ...
This paper considers a test of the rank of cointegration. The test is based on the fact that in an m...
We develop a sequence of tests for specifying the cointegrating rank of, possibly fractional, multip...
First version issued: 2005-11This paper considers a test of the rank of cointegration. The test is b...
We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies...
We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies...
We consider cointegration tests in the situation where the cointegration rank is deficient. This sit...
This paper provides pseudo-Gaussian and locally optimal rank-based tests for the cointegration rank ...