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A "maximum-eigenvalue" test for the cointegration ranks in I(2) vector autoregressions

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  • Nielsen, Heino Bohn

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  • Nielsen, Heino Bohn, 2007. "A "maximum-eigenvalue" test for the cointegration ranks in I(2) vector autoregressions," Economics Letters, Elsevier, vol. 94(3), pages 445-451, March.
    • Handle: RePEc:eee:ecolet:v:94:y:2007:i:3:p:445-451
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    References listed on IDEAS

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    1. Johansen, Søren, 1995. "A Stastistical Analysis of Cointegration for I(2) Variables," Econometric Theory, Cambridge University Press, vol. 11(1), pages 25-59, February.
    2. Paolo Paruolo, 2001. "The Power of Lambda Max," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(3), pages 395-403, July.
    3. Anindya Banerjee & Lynne Cockerell & Bill Russell, 2001. "An I(2) analysis of inflation and the markup," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 221-240.
    4. Heino Bohn Nielsen & Anders Rahbek, 2003. "Likelihood Ratio Testing for Cointegration Ranks in I(2) Models," Discussion Papers 03-42, University of Copenhagen. Department of Economics.
    5. Jurgen A. Doornik, 1998. "Approximations To The Asymptotic Distributions Of Cointegration Tests," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 573-593, December.
    6. Rahbek, Anders & Christian Kongsted, Hans & Jorgensen, Clara, 1999. "Trend stationarity in the I(2) cointegration model," Journal of Econometrics, Elsevier, vol. 90(2), pages 265-289, June.
    7. Hans Christian Kongsted, 2003. "An I(2) cointegration analysis of small-country import price determination," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 53-71, June.
    8. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    9. Paruolo, Paolo, 2000. "Asymptotic Efficiency Of The Two Stage Estimator In I (2) Systems," Econometric Theory, Cambridge University Press, vol. 16(4), pages 524-550, August.
    10. Johansen, Søren, 1992. "A Representation of Vector Autoregressive Processes Integrated of Order 2," Econometric Theory, Cambridge University Press, vol. 8(2), pages 188-202, June.
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