Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
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Other versions of this item:
- Lütkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2000. "Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process," SFB 373 Discussion Papers 2000,83, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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KeywordsCointegration; Local power analysis; Vector autoregressive process.;
All these keywords.
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