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Testing for the Cointegrating Rank of a VAR Process with a Time Trend

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  • H. Lütkepohl
  • P. Saikkonen

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Paper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 1997,79.

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Date of creation: 1997
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Handle: RePEc:zbw:sfb373:199779

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References

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  1. Perron, Pierre & Campbell, John Y, 1993. "A Note on Johansen's Cointegration Procedure When Trends Are Present," Empirical Economics, Springer, Springer, vol. 18(4), pages 777-89.
  2. H. Lütkepohl & P. Saikkonen, 1997. "Testing for the Cointegrating Rank of a VAR Process with a Time Trend," SFB 373 Discussion Papers 1997,79, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  3. Toda, Hiro Y, 1994. "Finite Sample Properties of Likelihood Ratio Tests for Cointegrating Ranks when Linear Trends are Present," The Review of Economics and Statistics, MIT Press, vol. 76(1), pages 66-79, February.
  4. Saikkonen, Pentti & L tkepohl, Helmut, 1999. "Local Power Of Likelihood Ratio Tests For The Cointegrating Rank Of A Var Process," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 15(01), pages 50-78, February.
  5. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198774501, October.
  6. 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.
  7. Bierens, H.J., 1995. "Nonparametric cointegration analysis," Discussion Paper, Tilburg University, Center for Economic Research 1995-123, Tilburg University, Center for Economic Research.
  8. Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 54(3), pages 257-87, August.
  9. Saikkonen, Pentti & Luukkonen, Ritva, 1997. "Testing cointegration in infinite order vector autoregressive processes," Journal of Econometrics, Elsevier, Elsevier, vol. 81(1), pages 93-126, November.
  10. repec:wop:humbsf:1997-79 is not listed on IDEAS
  11. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
  12. Toda, Hiro Y., 1995. "Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 11(05), pages 1015-1032, October.
  13. Nabeya, Seiji & Tanaka, Katsuto, 1990. "Limiting power of unit-root tests in time-series regression," Journal of Econometrics, Elsevier, Elsevier, vol. 46(3), pages 247-271, December.
  14. Paruolo, Paolo, 1997. "Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 13(01), pages 79-118, February.
  15. Saikkonen, Pentti, 1992. "Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 8(01), pages 1-27, March.
  16. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
  17. Gregoir, Stephane & Laroque, Guy, 1994. "Polynomial cointegration estimation and test," Journal of Econometrics, Elsevier, Elsevier, vol. 63(1), pages 183-214, July.
  18. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, Econometric Society, vol. 58(1), pages 113-44, January.
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