Tests for cointegration rank and choice of the alternative
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Bibliographic InfoArticle provided by Springer in its journal Statistical Methods and Applications.
Volume (Year): 18 (2009)
Issue (Month): 2 (July)
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Web page: http://link.springer.de/link/service/journals/10260/index.htm
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Lütkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2000.
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- Paolo Paruolo, 2002.
"On Monte Carlo estimation of relative power,"
Royal Economic Society, vol. 5(1), pages 65-75, June.
- Bent Nielsen, 2004. "On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank," Econometric Reviews, Taylor and Francis Journals, vol. 23(1), pages 1-23.
- Saikkonen, Pentti & L tkepohl, Helmut, 2000.
"Testing For The Cointegrating Rank Of A Var Process With An Intercept,"
Cambridge University Press, vol. 16(03), pages 373-406, June.
- Saikkonen, Pentti & Lütkepohl, Helmut, 1998. "Testing for the cointegrating rank of a VAR process with an intercept," SFB 373 Discussion Papers 1998,51, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Paruolo Paolo, . "LR cointegration tests when some cointegrating relations are known," Economics and Quantitative Methods qf0106, Department of Economics, University of Insubria.
- Horvath, Michael T.K. & Watson, Mark W., 1995. "Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified," Econometric Theory, Cambridge University Press, vol. 11(05), pages 984-1014, October.
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