A comparison of tests of linear hypotheses in cointegrated vector autoregressive models

Economics Letters

Volumn 45, Issue 2, 1994, Pages 137-144

  Psaradakis, Zacharias ^a  

^a UNIVERSITY OF BRISTOL   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 38149148349     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1765(94)90125-2     Document Type: Article

References (14)

1. Statistical analysis of cointegration vectors
2. Likelihood based inference on cointegration: Theory and applications
3. Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
4. The role of the constant term in cointegration analysis of non-stationary variables
5. Cointegration in partial systems and the efficiency of single-equation analysis
6. MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION - WITH APPLICATIONS TO THE DEMAND FOR MONEY
7. Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
8. A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1
9. Unidentified components in reduced rank regression estimation of ECM's
10. Small sample properties of tests of linear restrictions on cointegrating vectors and their weights
11. Comparisons of tests for multivariate cointegration
12. VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
13. Macroeconomics and Reality