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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:A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks Author(s):LANNE, Markku; LUETKEPOHL, HelmutDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/23Abstract:Abstract. Different identification schemes for monetary policy shocks have
been proposed in the literature. They typically specify just-identifying re-
strictions in a standard structural vector autoregressive (SVAR) ...
Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/23Abstract:Abstract. Different identification schemes for monetary policy shocks have
been proposed in the literature. They typically specify just-identifying re-
strictions in a standard structural vector autoregressive (SVAR) ...
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 ...
Title:Econometric Analysis with Vector Autoregressive Models Author(s):LUETKEPOHL, HelmutDate:2007Type:Working PaperSeries/Number:EUI ECO; 2007/11Abstract:Vector autoregressive (VAR) models for stationary and integrated variables are
reviewed. Model specification and parameter estimation are discussed and various uses of
these models for forecasting and economic analysis ...
Date:2007Type:Working PaperSeries/Number:EUI ECO; 2007/11Abstract:Vector autoregressive (VAR) models for stationary and integrated variables are
reviewed. Model specification and parameter estimation are discussed and various uses of
these models for forecasting and economic analysis ...
Title:Break Date Estimation for VAR Processes with Level Shift with an Application to Cointegration Testing Author(s):SAIKKONEN, Pentti; LUETKEPOHL, Helmut; TRENKLER, CarstenDate:2006Citation:
- Econometric Theory, 2006, 22, 1, 15-68.
Type:ArticleAbstract:In testing for the cointegrating rank of a vector autoregressive process it is important to take into account level shifts that have occurred in the sample period. Therefore the properties of estimators of the time period ...
; TRENKLER, CarstenDate:2006Citation:
Title:Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break Author(s):TRENKLER, Carsten; SAIKKONEN, Pentti; LUETKEPOHL, HelmutDate:2006Type:Working PaperSeries/Number:EUI ECO; 2006/29Abstract:A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible
shift and broken linear trend is proposed. The break point is assumed to be known. The
setup is a VAR process for cointegrated ...
Date:2006Type:Working PaperSeries/Number:EUI ECO; 2006/29Abstract:A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible
shift and broken linear trend is proposed. The break point is assumed to be known. The
setup is a VAR process for cointegrated ...
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
Date:2005Type:Working PaperSeries/Number:EUI ECO; 2005/15
Title:Structural Vector Autoregressive Analysis for Cointegrated Variables Author(s):LUETKEPOHL, HelmutDate:2005Type:Working PaperSeries/Number:EUI ECO; 2005/02
Date:2005Type:Working PaperSeries/Number:EUI ECO; 2005/02