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

Journal of Econometrics

Volumn 113, Issue 2, 2003, Pages 201-229

  Lütkepohl, Helmut ^a   Saikkonen, Pentti ^b   Trenkler, Carsten ^c  

^a EUROPEAN UNIVERSITY INSTITUTE   (Italy)

^b UNIVERSITY OF HELSINKI   (Finland)

^c HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Cointegration; Error correction model; Local power; Test size; Vector autoregressive process

Indexed keywords

COMPUTER SIMULATION; ERROR CORRECTION; MATHEMATICAL MODELS; MATHEMATICAL OPERATORS; MATRIX ALGEBRA; REGRESSION ANALYSIS; THEOREM PROVING;

AUTOREGRESSIVE PROCESSES; GROSS NATIONAL PRODUCT (GNP);

ECONOMICS;

EID: 0242379603     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(02)00200-2     Document Type: Article

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