Show simple item record

dc.contributor.authorLUETKEPOHL, Helmut
dc.contributor.authorSAIKKONEN, Pentti
dc.contributor.authorTRENKLER, Carsten
dc.date.accessioned2006-05-26T09:00:01Z
dc.date.available2006-05-26T09:00:01Z
dc.date.issued2003
dc.identifier.citationJournal of Econometrics, 2003, 113, 2, 201-229.en
dc.identifier.urihttp://hdl.handle.net/1814/4443
dc.description.abstractTwo 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 principle using a specific Gaussian model set-up. In the second proposal the time series are adjusted for deterministic terms first and then LR type tests are applied to the adjusted series. The local power of the two types of tests is derived and compared. Moreover, the small sample size and power properties of the tests are explored. It is found that the tests based on adjusted series generally have superior local power and size properties.en
dc.language.isoenen
dc.relation.ispartofJournal of Econometrics
dc.titleComparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shiften
dc.typeArticleen
dc.identifier.doi10.1016/S0304-4076(02)00200-2
dc.neeo.contributorLUETKEPOHL|Helmut|aut|EUI70007
dc.neeo.contributorSAIKKONEN|Pentti|aut|
dc.neeo.contributorTRENKLER|Carsten|aut|
dc.identifier.volume113
dc.identifier.startpage201
dc.identifier.endpage229
eui.subscribe.skiptrue


Files associated with this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record