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
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
Title:A New Set of Critical Values for Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms Author(s):TRENKLER, CarstenDate:2003Type:Working PaperSeries/Number:EUI ECO; 2003/07
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 ...
Title:Essays on Cointegration Analysis Author(s):OMTZIGT, PieterDate:2003Citation:
- Florence, European University Institute, 2003
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:Essays in cointegration analysis never was the working title of the work in progress for the last seven years. I started this project with the aim of doing applied research in economics and econometrics. Hence the last ...
Title:A Re-interpretation of the Linear-Quadratic Model When Inventories and Sales are Polynomially Cointegrated Author(s):BANERJEE, Anindya; MIZEN, PaulDate:2003Type:Working PaperSeries/Number:EUI ECO; 2003/11
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