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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, HelmutEUI affiliated; 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 ...

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AuthorDEMETRESCU, Matei (1)LUETKEPOHL, Helmut (1)SAIKKONEN, Pentti (1)SubjectAR-GARCH (1)asymptotic normality (1)
C32 (1)
Cointegration analysis (1)
consistency (1)likelihood ratio test (1)nonlinear time series (1)quasi maximum likelihood estimation (1)vector autoregressive model (1)
vector error correction model (1)
... View MoreType
Working Paper (1)
Date Issued2008 (1)Series/Number2008/24 (1)EUI ECO (1)
Connected with:ORCIDOpenAIRECORESHERPA/RoMEORePEcWorldCatGoogle Scholar
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