Testing for the Cointegrating Rank of a Conditional Vector Autoregressive Process with a Linear Time Trend

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Testing for the Cointegrating Rank of a Conditional Vector Autoregressive Process with a Linear Time Trend

Author Info

Kauppi, H.

Abstract

The 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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Publisher Info
Paper provided by Department of Economics in its series University of Helsinki, Department of Economics with number 497.

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Length: 50 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:fth:helsec:497

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Postal: University of Helsinki; Department of Economics, P.O.Box 54 (Unioninkatu 37) FIN-00014 Helsingin Yliopisto
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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

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