TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
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New York: Cambridge University Press
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Language
English
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New York: Cambridge University Press
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Contents
Testing the cointegrating rank of a vector autoregressive
process with an intercept is considered. In addition to
the likelihood ratio (LR) tests developed by Johansen and
Juselius (1990, Oxford Bulletin of Economics and Statistics,
52, 169–210) and others we also consider an alternative
class of tests that is based on estimating the...
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Full title
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
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TN_cdi_proquest_miscellaneous_38889681
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_miscellaneous_38889681
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ISSN
0266-4666
E-ISSN
1469-4360
DOI
10.1017/S0266466600163042
