A General Test for the Cointegrating Rank in Vector Autoregressive Models
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Note: This paper is published as: Ahlgren, Niklas and Nyblom, Jukka (2008), 'Tests against Stationary and Explosive Alternatives in Vector Autoregressive Models', Journal of Time Series Analysis, 29, 421-443.
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More about this item
Keywords
Common trends; Companion matrix; Eigenvalue test; Integration of order 2; Rank determination; Unit roots;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2004-03-03 (Econometrics)
- NEP-ETS-2004-02-29 (Econometric Time Series)
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