Maximum Eigenvalue versus Trace Tests for the Cointegrating Rank of a VAR Process
By Helmut Lütkepohl, Pentti Saikkonen, Carsten Trenkler. 2001
274 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/19708d2f62c9c11332bff994b034ec98967aa3d3
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In Economics and Econometrics
- Hashem Pesaran
- Allan G. Timmermann
- Lutz Kilian
- Enrique Moral-Benito
- Massimo Guidolin
- Barbara Rossi
- Christiane Baumeister
- Andrew J. Patton
Citations in the corpus
- Testing Dependence Among Serially Correlated Multicategory Variables (2009, background): “However, in the context of tests for the cointegrating rank of vector autoregressions, Lutkepohl, Saikkonen, and Trenkler (2001) find that the trace test in some situations has better finite-sample power than the test based on the maximum eigenvalue, although the former also tends to suffer more…”