Comparison of the Anderson-Rubin test for overidentification and the Johansen test for cointegration
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- de Pooter, M.D. & Ravazzolo, F. & Segers, R. & van Dijk, H.K., 2008. "Bayesian near-boundary analysis in basic macroeconomic time series models," Econometric Institute Research Papers EI 2008-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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KeywordsCointegration; Likelihood ratio test; Overidentification; Singular value decomposition;
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