Direct Cointegration Testing in Error Correction Models

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Direct Cointegration Testing in Error Correction Models

Author Info

Kleinbergen, F.R.
Van Dijk, H.K.

Additional information is available for the following registered author(s):

Herman K. van Dijk

Abstract

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Publisher Info
Paper provided by Erasmus University of Rotterdam - Econometric Institute in its series Papers with number 9334-a.

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Length: 35 pages
Date of creation: 1993
Date of revision:
Handle: RePEc:fth:erroem:9334-a

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Related research
Keywords: econometrics;

Other versions of this item:

Article
- Kleibergen, Frank & van Dijk, Herman K., 1994. "Direct cointegration testing in error correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 61-103, July. [Downloadable!] (restricted)

Cited by:
(explanations, 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.)

Kleibergen, Frank & Urbain, Jean-Pierre & Dijk, Herman K. van, 1996. "Oil price shocks and long run price and import demand behavior," Econometric Institute Report 44, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Other versions:
- F. Kleibergen & H.K. van Dijk & J.-P. Urbain, 1997. "Oil price shocks and long run price and import demand behavior," Econometric Institute Report 151, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
- Kleibergen, F.R. & Urbain, J.-P. & Dijk, H.K. van, 1997. "Oil Price Shocks and Long Run Price and Import Demand Behavior," Econometric Institute Report EI 9709-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
- Frank Kleibergen & Herman van Dijk & Jean-Pierre Urbain, 1999. "Oil Price Shocks and Long Run Price and Import Demand Behavior," Annals of the Institute of Statistical Mathematics, Springer, vol. 51(3), pages 399-417, September. [Downloadable!] (restricted)
Richard Paap & Frank Kleibergen, 2004. "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Society 2004 Australasian Meetings 195, Econometric Society. [Downloadable!]
Other versions:
- Kleibergen, F.R. & Paap, R., 2003. "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Institute Report EI 2003-01 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
- F. Kleibergen & R. Paap, 2003. "Generalized reduced rank tests using the singular value decomposition," Econometric Institute Report 301, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
- Kleibergen, Frank & Paap, Richard, 2006. "Generalized reduced rank tests using the singular value decomposition," Journal of Econometrics, Elsevier, vol. 133(1), pages 97-126, July. [Downloadable!] (restricted)
Kleibergen, Frank & Hoek, Henk, 1996. "Bayesian analysis of ARMA models using noninformative priors," Econometric Institute Report 39, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Other versions:
- Frank Kleibergen & Henk Hoek, 1997. "Bayesian Analysis of ARMA Models using Noninformative Priors," Tinbergen Institute Discussion Papers 97-006/4, Tinbergen Institute. [Downloadable!]
- Kleibergen, F. & Hoek, H., 1995. "Bayesian analysis of ARMA models using noninformative priors," Discussion Paper 116, Tilburg University, Center for Economic Research. [Downloadable!]
- Kleibergen, F.R. & Hoek, H., 1995. "Bayesian Analysis of ARMA models using Noninformative Priors," Econometric Institute Report EI 9553-/B Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
J. Breitung, . "A Simultaneous Equations Approach to Cointegrated Systems," Sonderforschungsbereich 373 1995-46, Humboldt Universitaet Berlin.
Boswijk, H. Peter & Lucas, Andr‚, 1997. "Semi-nonparametric cointegration testing," Serie Research Memoranda 0041, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
Other versions:
- Boswijk, H. Peter & Lucas, Andre, 2002. "Semi-nonparametric cointegration testing," Journal of Econometrics, Elsevier, vol. 108(2), pages 253-280, June. [Downloadable!] (restricted)
H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute. [Downloadable!]
Kleibergen, F., 1996. "Reduced rank regression using generalized method of moments estimators," Discussion Paper 20, Tilburg University, Center for Economic Research. [Downloadable!]
Kirstin Hubrich & Helmut Lütkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor and Francis Journals, vol. 20(3), pages 247-318. [Downloadable!] (restricted)
Other versions:
- K. Hubrich & H. Lütkepohl & P. Saikkonen, . "A Review of Systems Cointegration Tests," Sonderforschungsbereich 373 1998-101, Humboldt Universitaet Berlin.
Kleibergen, Frank & Paap, Richard, 1996. "Priors, posterior odds and Lagrange multiplier statistics in Bayesian analyses of cointegration," Econometric Institute Report 37, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Other versions:
- Frank Kleibergen & Richard Paap, 1997. "Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analyses of Cointegration," Tinbergen Institute Discussion Papers 97-007/4, Tinbergen Institute.
- Kleibergen, F.R. & Paap, R., 1996. "Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analyses of Cointegration," Econometric Institute Report EI 9668-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

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