Finite sample comparison of alternative tests on the rank of a cointegration submatrix
Download full text from publisher
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Cubadda, Gianluca, 2007.
"A unifying framework for analysing common cyclical features in cointegrated time series,"
Computational Statistics & Data Analysis,
Elsevier, vol. 52(2), pages 896-906, October.
- Gianluca Cubadda, 2007. "A Unifying Framework for Analysing Common Cyclical Features in Cointegrated Time Series," CEIS Research Paper 102, Tor Vergata University, CEIS.
More about this item
KeywordsInvariance; Vector autoregressive process; Monte Carlo; Likeli-hood ratio test; Cointegration.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-23 (All new papers)
- NEP-CBA-2007-01-23 (Central Banking)
- NEP-FOR-2007-01-23 (Forecasting)
- NEP-IFN-2007-01-23 (International Finance)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ins:quaeco:qf0606. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Segreteria Dipartimento). General contact details of provider: http://edirc.repec.org/data/feinsit.html .
We have no references for this item. You can help adding them by using this form .