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Testing cointegration in infinite order vector autoregressive processes · Study

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ArticleTesting cointegration in infinite order vector autoregressive processes

Pentti Saikkonen1997

Article1997

Testing cointegration in infinite order vector autoregressive processes

Pentti Saikkonen · Ritva A. Luukkonen

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

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1996Efficient Tests for an Autoregressive Unit Root 1992Efficient Tests for an Autoregressive Unit Root 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order 1990Asymptotic Properties of Residual Based Tests for Cointegration

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2012Gold as an inflation hedge in a time-varying coefficient framework 2009The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study 2015Regime switching model of US crude oil and stock market prices: 1859 to 2013 2012Oil prices and effective dollar exchange rates 2013Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?

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Year1997

Typearticle

Published1997-11-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations113

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0304-4076(97)00036-5

openalex_workW2053863891

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2001A REVIEW OF SYSTEMS COINTEGRATION TESTS

2007Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity

2000Testing for the cointegrating rank of a VAR process with a time trend