Search Results

Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term

Authors: Demetrescu, Matei; Lütkepohl, Helmut; Saikkonen, Pentti

Source: The Econometrics Journal, Volume 12, Number 3, November 2009 , pp. 414-435(22)

Publisher: Blackwell Publishing

Testing the Cointegrating Rank with Uncorrelated but Dependent Errors

Author: Raissi, Hamdi

Source: Stochastic Analysis and Applications, Volume 27, Number 1, January 2009 , pp. 24-50(27)

Publisher: Taylor and Francis Ltd

Tests against stationary and explosive alternatives in vector autoregressive models

Authors: Ahlgren, Niklas; Nyblom, Jukka

Source: Journal of Time Series Analysis, Volume 29, Number 3, May 2008 , pp. 421-443(23)

Publisher: Blackwell Publishing

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break

Authors: Trenkler, Carsten; Saikkonen, Pentti; Lütkepohl, Helmut

Source: Journal of Time Series Analysis, Volume 29, Number 2, March 2008 , pp. 331-358(28)

Publisher: Blackwell Publishing

Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated

Authors: Hjalmarsson, Erik; Österholm, Pär

Source: IMF Working Papers, Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated , pp. 1-19(19)

Publisher: International Monetary Fund

Inference of seasonal cointegration with linear restrictions

Authors: Seong, Byeongchan; Cho, Sinsup; Ahn, Sung K.

Source: Journal of Statistical Computation and Simulation, Volume 77, Number 7, January 2007 , pp. 593-603(11)

Publisher: Taylor and Francis Ltd

Testing for Cointegrating Rank Via Model Selection: Evidence From 165 Data Sets

Authors: Baltagi, Badi; Wang, Zijun

Source: Empirical Economics, Volume 33, Number 1, July 2007 , pp. 41-49(9)

Publisher: Springer

The Likelihood Ratio Test for the Rank of a Cointegration Submatrix

Author: Paruolo, Paolo

Source: Oxford Bulletin of Economics and Statistics, Volume 68, Supplement 1, December 2006 , pp. 921-948(28)

Publisher: Blackwell Publishing

CANADIAN MONEY DEMAND FUNCTIONS: COINTEGRATION-RANK STABILITY

Author: HAUG, ALFRED A.

Source: The Manchester School, Volume 74, Number 2, March 2006 , pp. 214-230(17)

Publisher: Blackwell Publishing

Analysing I(2) Systems by Transformed Vector Autoregressions

Authors: Hans Christian Kongsted; Heino Bohn Nielsen

Source: Oxford Bulletin of Economics and Statistics, Volume 66, Number 3, July 2004 , pp. 379-397(19)

Publisher: Blackwell Publishing

A Comparison of Johansen's, Bierens’ and the Subspace Algorithm Method for Cointegration Analysis

Author: Martin Wagner

Source: Oxford Bulletin of Economics and Statistics, Volume 66, Number 3, July 2004 , pp. 399-424(26)

Publisher: Blackwell Publishing

Determination of cointegrating rank in partially non-stationary processes via a generalised von-Neumann criterion

Authors: Harris, D.; Poskitt, D. S.

Source: The Econometrics Journal, Volume 7, Number 1, June 2004 , pp. 191-217(27)

Publisher: Blackwell Publishing

Inference of Seasonal Cointegration: Gaussian Reduced Rank Estimation and Tests for Various Types of Cointegration

Authors: Ahn S.K.; Cho S.; Chan Seong B.

Source: Oxford Bulletin of Economics and Statistics, Volume 66, Number 2, May 2004 , pp. 261-284(24)

Publisher: Blackwell Publishing

Bayesian inference in cointegrated systems

Author: Amisano G.

Source: Research in Economics, Volume 57, Number 4, December 2003 , pp. 287-314(28)

Publisher: Elsevier

Nonstationary term premia and cointegration of the term structure

Author: Carstensen K.

Source: Economics Letters, Volume 80, Number 3, September 2003 , pp. 409-413(5)

Publisher: Elsevier

Comparison of tests for the cointegrating rank of a VAR process with a structural shift

Authors: Lutkepohl H.; Saikkonen P.; Trenkler C.

Source: Journal of Econometrics, Volume 113, Number 2, April 2003 , pp. 201-229(29)

Publisher: Elsevier

Estimating cointegrated systems using subspace algorithms

Authors: Bauer D.; Wagner M.

Source: Journal of Econometrics, Volume 111, Number 1, November 2002 , pp. 47-84(38)

Publisher: Elsevier

New panel results on cointegration of international health expenditure and GDP

Authors: Gerdtham U.-G.; Löthgren M.

Source: Applied Economics, Volume 34, Number 13, 10 September 2002 , pp. 1679-1686(8)

Publisher: Routledge, part of the Taylor & Francis Group

Determination of cointegrating rank in fractional systems

Authors: Robinson P.M.; Yajima Y.

Source: Journal of Econometrics, Volume 106, Number 2, February 2002 , pp. 217-241(25)

Publisher: Elsevier

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process

Authors: Lüutkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten

Source: The Econometrics Journal, Volume 4, Number 2, December 2001 , pp. 287-310(24)

Publisher: Blackwell Publishing