On cointegration tests for VAR models with drift

Economics Letters

Volumn 51, Issue 1, 1996, Pages 45-50

  Yang, Minxian ^a   Bewley, Ronald ^a  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Asymptotic distributions; Error correction models; Time trend

Indexed keywords

EID: 0030306103     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1765(95)00783-0     Document Type: Article

References (10)

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4. Johansen, S., 1988, Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control 12, 132-254.
5. Johansen, S., 1991, Estimation, and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models, Econometrica 59, 1551-1580.
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10. Stock, J.H. and M.W. Watson, 1988, Testing common trends, Journal of the American Statistical Association 83, 1097-1107.