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Asymptotic inference on cointegrating rank in partial systems.

Abstract:
The likelihood ratio test for cointegrating rank is analyzed for partial (or conditional) systems in the vector autoregressive error correction model. Under the assumption of weak exogeneity for the cointegrating parameters, the asymptotic distributions are given and tables are provided. A discussion is given of some of the assumptions of the model, why they are needed, and how they are tested.

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Authors


Ingrid Harbo More by this author
Søren Johansen More by this author
Bent Nielsen More by this author
Anders Rahbek More by this author
Journal:
Journal of Business and Economic Statistics
Volume:
16
Issue:
4
Publication date:
1998
URN:
uuid:ab047278-0e3c-44a3-88eb-ee050c65c559
Local pid:
oai:economics.ouls.ox.ac.uk:14485
Language:
English

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