Advanced Search
MyIDEAS: Login to save this article or follow this journal

Tests for cointegration rank and choice of the alternative

Contents:

Author Info

  • Giuseppe Cavaliere

    ()

  • Luca Fanelli
  • Paolo Paruolo

Abstract

No abstract is available for this item.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://hdl.handle.net/10.1007/s10260-007-0084-2
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Springer in its journal Statistical Methods and Applications.

Volume (Year): 18 (2009)
Issue (Month): 2 (July)
Pages: 169-191

as in new window
Handle: RePEc:spr:stmapp:v:18:y:2009:i:2:p:169-191

Contact details of provider:
Web page: http://link.springer.de/link/service/journals/10260/index.htm

Order Information:
Web: http://link.springer.de/orders.htm

Related research

Keywords: Cointegration rank; Likelihood ratio; Asymptotic power; Unit roots; Brownian motion;

References

References listed on IDEAS
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.:
as in new window
  1. 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.
  2. 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.
  3. Canova, Fabio & Ravn, Morten O., 1994. "International Consumption Risk Sharing," CEPR Discussion Papers 1074, C.E.P.R. Discussion Papers.
  4. Cavaliere, Giuseppe & Fanelli, Luca & Gardini, Attilio, 2006. "Regional consumption dynamics and risk sharing in Italy," International Review of Economics & Finance, Elsevier, vol. 15(4), pages 525-542.
  5. Johansen, S., 1991. "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers, Helsinki - Department of Economics 76a, Helsinki - Department of Economics.
  6. Paruolo Paolo, . "On Monte Carlo Estimation of Relative Power," Economics and Quantitative Methods, Department of Economics, University of Insubria qf0112, Department of Economics, University of Insubria.
  7. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, Econometric Society, vol. 59(6), pages 1551-80, November.
  8. 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.
  9. Bent Nielsen, 2004. "On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 23(1), pages 1-23.
  10. Paruolo, Paolo, 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.
  11. Paruolo Paolo, . "LR cointegration tests when some cointegrating relations are known," Economics and Quantitative Methods, Department of Economics, University of Insubria qf0106, Department of Economics, University of Insubria.
  12. Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler, 2001. "Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 8.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:spr:stmapp:v:18:y:2009:i:2:p:169-191. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.