JavaScript is disabled for your browser. Some features of this site may not work without it.
Browsing Department of Economics (ECO) by Subject "likelihood ratio test"
Now showing items 1-2 of 2
Title:Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term
Author(s):DEMETRESCU, Matei; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2008Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:When applying Johansen's procedure for determining the coin-
tegrating rank to systems of variables with linear deterministic trends, there
are two possible tests to choose from. One test allows for a trend in ...
Title:A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors
Author(s):JOHANSEN, SorenDate:2002Type of Publication:ArticleAbstract:The main purpose of the analysis of the cointegrated VAR model is conducting inference on the cointegrating relations. Asymptotic inference is chi(2), but the asymptotic results are not accurate enough for small samples. ...
