Testing for the Cointegrating Rank of a Conditional Vector Autoregressive Process with a Linear Time Trend
AbstractThe paper proposes new tests for the cointegrating rank of a conditional vector autoregressive process with weakly exogenous variables and a linear time trend. The vovel feature of the applied trend estimation techniques is that they impose the restriction of the cointegrating rank under the null hypothesis.
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Bibliographic InfoPaper provided by Department of Economics in its series University of Helsinki, Department of Economics with number 497.
Length: 50 pages
Date of creation: 2000
Date of revision:
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Postal: University of Helsinki; Department of Economics, P.O.Box 54 (Unioninkatu 37) FIN-00014 Helsingin Yliopisto
Phone: +358 9 191 8897
Fax: +358 9 191 8877
Web page: http://www.helsinki.fi/politiikkajatalous/
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TESTS ; AUTOREGRESSIVE MODEL ; EXOGENOUS VARIABLES;
Find related papers by JEL classification:
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- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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