Testing for the Cointegrating Rank of a Conditional Vector Autoregressive Process with a Linear Time Trend
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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|Date of creation:||2000|
|Date of revision:|
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