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Title:Break Date Estimation and Cointegration Testing
in VAR Processes with Level Shift Author(s):SAIKKONEN, Pentti; LUETKEPOHL, Helmut
; TRENKLER, CarstenDate:2004Type:Working PaperSeries/Number:EUI ECO; 2004/21
; TRENKLER, CarstenDate:2004Type:Working PaperSeries/Number:EUI ECO; 2004/21
Title:Forecasting with VARMA Models Author(s):LUETKEPOHL, HelmutDate:2004Type:Working PaperSeries/Number:EUI ECO; 2004/25
Date:2004Type:Working PaperSeries/Number:EUI ECO; 2004/25
Title:Recent Advances in Cointegration Analysis Author(s):LUETKEPOHL, HelmutDate:2004Type:Working PaperSeries/Number:EUI ECO; 2004/12
Date:2004Type:Working PaperSeries/Number:EUI ECO; 2004/12
Title:Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, HelmutDate:2004Type:Working PaperSeries/Number:EUI ECO; 2004/20
Date:2004Type:Working PaperSeries/Number:EUI ECO; 2004/20
Title:Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift Author(s):LUETKEPOHL, Helmut; SAIKKONEN, Pentti; TRENKLER, CarstenDate:2003Citation:
- Journal of Econometrics, 2003, 113, 2, 201-229.
Type:ArticleAbstract:Two different types of tests for the cointegrating rank of vector autoregressive processes with a deterministic shift in the level have been proposed in the literature. The first proposal is based on the likelihood ratio ...
; SAIKKONEN, Pentti; TRENKLER, CarstenDate:2003Citation:
Title:Comparison of model reduction methods for VAR processes Author(s):BRUEGGEMANN, Ralf; KROLZIG, Hans-Martin; LUETKEPOHL, HelmutDate:2002Type:Working PaperSeries/Number:EUI ECO; 2002/19
Date:2002Type:Working PaperSeries/Number:EUI ECO; 2002/19