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Comparison of tests for the cointegrating rank of a VAR process with a structural shift · Study

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ArticleComparison of tests for the cointegrating rank of a VAR process with a structural shift

Helmut Lütkepohl2003

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Articlegreen2003

Comparison of tests for the cointegrating rank of a VAR process with a structural shift

Helmut Lütkepohl · Pentti Saikkonen · Carsten Trenkler

52 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Statistical and numerical algorithms Diverse Scientific and Economic Studies

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 52 citations exist upstream.

References

1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1996Residual-based tests for cointegration in models with regime shifts 1992Tests for Parameter Instability in Regressions with 1(1) Processes 2000Cointegration analysis in the presence of structural breaks in the deterministic trend 1992Tests for Parameter Instability in Regressions with I(1) Processes 1999Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger 1996Cointegration tests in the presence of structural breaks 2000Testing for the Cointegrating Rank of a VAR Process With Structural Shifts

Cited by

2006Price convergence among Indian cities: A cointegration approach 2022Johansen‐type cointegration tests with a Fourier function

Details

Year2003

Typearticle

Published2003-03-04

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations52

Files0 public / 0

ShelfMonetary Policy and Economic Impact

Identifiers

doi10.1016/s0304-4076(02)00200-2

openalex_workW1982013578

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