Practical Problems with Reduced-Rank ML Estimators for Cointegration Parameters and a Simple Alternative

By R. Brüggemann, Helmut Lütkepohl. 2005

56 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/634add666031888fbf1ce769179129549489bfe5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Helmut Lütkepohl
2. Pentti Saikkonen
3. R. Brüggemann
4. Muhammad Shahbaz
5. Carsten Trenkler
6. Timo Teräsvirta
7. Theodore Panagiotidis
8. Henri Nyberg

In Finance

1. Helmut Lütkepohl
2. Pentti Saikkonen
3. R. Brüggemann
4. Muhammad Shahbaz
5. Theodore Panagiotidis
6. Carsten Trenkler
7. Henri Nyberg
8. Cosimo Magazzino

In Statistics and Probability

1. Helmut Lütkepohl
2. Pentti Saikkonen
3. R. Brüggemann
4. Muhammad Shahbaz
5. Marcelo C. Medeiros
6. Álvaro Veiga

Citations in the corpus

• Residual autocorrelation testing for vector error correction models (2006, methodology): “It has been proposed by Ahn and Reinsel (1990) and Saikkonen”