Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
Demetrescu, Matei et al.
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 2009 - 2009 - 414-435 V. 12 Issue. 3
Econometrics
Cointegration analysis;Likelihood ratio test;Vector autoregressive model;Vector error correction model;
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 2009 - 2009 - 414-435 V. 12 Issue. 3
Econometrics
Cointegration analysis;Likelihood ratio test;Vector autoregressive model;Vector error correction model;