Browsing Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 by Author "Trenkler, Carsten"

Now showing items 1-5 of 5

2000-02-07Buch

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten
2000-10-05Buch

Maximum Eigenvalue Versus Trace Tests for the Cointegrating Rank of a VAR Process

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten
2001-09-05Buch

Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten
2002-08-19Buch

The Effects of Ignoring Level Shifts on Systems Cointegration Tests

Trenkler, Carsten

In this paper I analyse the effects of ignoring level shifts in the data generating process (DGP) on systems cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based ...
2000-07-21Buch

The Polish Crawling Peg System

A Cointegration Analysis

Trenkler, Carsten