Browsing Department of Economics (ECO) by Author "HARBO, Ingrid"

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Browsing Department of Economics (ECO) by Author "HARBO, Ingrid"

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    Title: Asymptotic Inference on Cointegrating Rank in Partial Systems  Author(s): HARBO, Ingrid; JOHANSEN, Soren; NIELSEN, Bent; RAHBEK, Anders Date: 1998 Type of Publication: Article Abstract: The likelihood ratio test for cointegrating rank is analyzed for partial (or conditional) systems in the vector autoregressive error-correction model. Under the assumption of weak exogeneity for the cointegrating parameters, ...