The likelihood ratio test for cointegrating rank is analyzed for partial (or conditional) systems in the vector autoregressive error-correction model. Under the assumption of weak exogeneity for the cointegrating parameters, the asymptotic distributions are given and tables of critical values are provided. A discussion is given of some of the assumptions of the model, why they are needed, and how they are tested. Coauthors are Soren Johansen, Bent Nielsen, and Anders Rahbek.
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Volume (Year): 16 (1998) Issue (Month): 4 (October) Pages: 388-99 Download reference. The following formats are available: HTML
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