A lag augmentation test for the cointegrating rank of a VAR process
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References listed on IDEAS
- Cragg, John G. & Donald, Stephen G., 1997. "Inferring the rank of a matrix," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 223-250.
- Perron, Pierre & Campbell, John Y, 1993. "A Note on Johansen's Cointegration Procedure When Trends Are Present," Empirical Economics, Springer, vol. 18(4), pages 777-789.
- Saikkonen, Pentti & L tkepohl, Helmut, 1999.
"Local Power Of Likelihood Ratio Tests For The Cointegrating Rank Of A Var Process,"
Cambridge University Press, vol. 15(01), pages 50-78, February.
- Saikkonen, Pentti & Lütkepohl, Helmut, 1997. "Local power of likelihood ratio tests for the cointegrating rank of a VAR process," SFB 373 Discussion Papers 1997,58, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
- Saikkonen, Pentti & Lütkepohl, HELMUT, 1996. "Infinite-Order Cointegrated Vector Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 12(05), pages 814-844, December.
- Choi, In, 1993. "Asymptotic Normality of the Least-Squares Estimates for Higher Order Autoregressive Integrated Processes with Some Applications," Econometric Theory, Cambridge University Press, vol. 9(02), pages 263-282, April.
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- repec:eee:econom:v:199:y:2017:i:1:p:49-62 is not listed on IDEAS
- Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 247-318.
- repec:eee:jfpoli:v:69:y:2017:i:c:p:123-134 is not listed on IDEAS
- Josheski, Dushko & Lazarov, Darko & Fotov, Risto & Koteski, Cane, 2011. "IS-LM model for US economy: testing in JMULTI," MPRA Paper 34024, University Library of Munich, Germany.
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