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Title:Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term Author(s):DEMETRESCU, Matei; LUETKEPOHL, Helmut
; SAIKKONEN, PenttiDate:2009Citation:
- Econometrics Journal, 2009, 12, 3, 414-435
Type:ArticleAbstract:P>When applying Johansen's procedure for determining the cointegrating rank to systems of variables with linear deterministic trends, there are two possible tests to choose from. One test allows for a trend in the cointegration ...
; SAIKKONEN, PenttiDate:2009Citation:
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:Working PaperSeries/Number:EUI ECO; 2008/24Abstract: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 ...
; SAIKKONEN, PenttiDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/24Abstract: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 ...