A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions
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A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions. / Nielsen, Heino Bohn.
I: Economics Letters, Bind 94, Nr. 3, 2007, s. 445-451.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions
AU - Nielsen, Heino Bohn
N1 - JEL Classification: C32
PY - 2007
Y1 - 2007
N2 - A maximum-eigenvalue test for the number of stochastic I(2) trends in a vector autoregression is suggested. The asymptotic distribution coincides with the distribution of the I(1) maximum-eigenvalue test. In two examples, the test reconciles empirical evidence with plausible economic scenarios
AB - A maximum-eigenvalue test for the number of stochastic I(2) trends in a vector autoregression is suggested. The asymptotic distribution coincides with the distribution of the I(1) maximum-eigenvalue test. In two examples, the test reconciles empirical evidence with plausible economic scenarios
KW - Faculty of Social Sciences
KW - cointegrated VAR
KW - I(2)
KW - rank test
KW - Maximum-eigenvalue
U2 - 10.1016/j.econlet.2006.08.032
DO - 10.1016/j.econlet.2006.08.032
M3 - Journal article
VL - 94
SP - 445
EP - 451
JO - Economics Letters
JF - Economics Letters
SN - 0165-1765
IS - 3
ER -
ID: 1385558