Title:Problems Related to Over-Identifying Restrictions for Structural Vector Error Correction Models Author(s):LUETKEPOHL, HelmutDate:2005Type:Working PaperSeries/Number:EUI ECO; 2005/15
Title:Vector Autoregressive and Vector Error Correction Models Author(s):LUETKEPOHL, HelmutDate:2004Citation:
- Helmut LUETKEPOHL and Markus KRAETZIG (eds), Applied Time Series Econometrics, New York, Cambridge University Press, 2004, 86-158.
Type:Contribution to book
Title:Structural Vector Autoregressive Analysis for Cointegrated Variables Author(s):LUETKEPOHL, HelmutDate:2005Type:Working PaperSeries/Number:EUI ECO; 2005/02
Title:A Note on Testing Restrictions for the Cointegration Parameters of a VAR with I(2) Variables Author(s):JOHANSEN, Soren; LUETKEPOHL, HelmutDate:2005Citation:
- Econometric Theory, 2005, 21, 3, 653-658.
Type:ArticleAbstract:We give a brief introduction to the vector autoregressive model for cointegrated I(2) variables and show how some plausible economic relations can be formulated in the I(2) framework in such a way that likelihood ratio ...
Title:Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time Author(s):LUETKEPOHL, Helmut; SAIKKONEN, Pentti; TRENKLER, CarstenDate:2004Citation:
- Econometrica, 2004, 72, 2, 647-662