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1998-06-10Buch DOI: 10.18452/3743
Testing for the Cointegrating Rank of a VAR Process with an Intercept
dc.contributor.authorSaikkonen, Pentti
dc.contributor.authorLütkepohl, Helmut
dc.date.accessioned2017-06-15T21:58:58Z
dc.date.available2017-06-15T21:58:58Z
dc.date.created2006-02-02
dc.date.issued1998-06-10
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4395
dc.description.abstractTesting the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius and others we also consider an alternative class of tests which is based on estimating the trend parameters of the deterministic term in a different way. The asymptotic local power of these tests is derived and compared to that of the corresponding LR tests. The small sample properties are investigated by simulations. The new tests are seen to be substantially more powerful than conventional LR tests.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc330 Wirtschaft
dc.titleTesting for the Cointegrating Rank of a VAR Process with an Intercept
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10057069
dc.identifier.doihttp://dx.doi.org/10.18452/3743
dc.subject.dnb17 Wirtschaft
local.edoc.pages38
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year1998
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber1998,51

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