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Direct Cointegration Testing in Periodic Vector Autoregressive Models

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Author Info
Kleibergen, F.
Franses, P.H.

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Abstract

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Publisher Info
Paper provided by Erasmus University of Rotterdam - Econometric Institute in its series Papers with number 9518/a.

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Length: 20 pages
Date of creation: 1995
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Handle: RePEc:fth:erroem:9518/a

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Related research
Keywords: COINTEGRATION MODELS ECONOMETRICS

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  1. Kleibergen, F., 1996. "Reduced rank regression using generalized method of moments estimators," Discussion Paper 20, Tilburg University, Center for Economic Research. [Downloadable!]
Statistics
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