TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT

By Pentti Saikkonen, Helmut Lütkepohl. Econometric Theory, 2000

98 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6e5aeb7f98b085a1c10304f6a00ae5a1a673cd40

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. Carsten Trenkler
2. Helmut Lütkepohl
3. Peter M. Robinson
4. Pentti Saikkonen
5. Qiwei Yao
6. Rongmao Zhang
7. Muhammad Shahbaz
8. Katsumi Shimotsu

In Finance

1. Carsten Trenkler
2. Helmut Lütkepohl
3. Qiwei Yao
4. Pentti Saikkonen
5. Peter M. Robinson
6. Rongmao Zhang
7. Muhammad Shahbaz
8. Morten Ørregaard Nielsen

Citations in the corpus

• Identifying Cointegration by Eigenanalysis (2015, methodology): “Please go towww.tandfonline.com/r/JASA. the data have been developed, starting from Engle and Granger (1987) and Johansen (1991), in their parametric, unit root vector autoregressive (VAR) setting, and continuing with, for example, Saikkonen and Lütkepohl (2000) and Aznar and Salvador (2002).”
• Maximum Eigenvalue versus Trace Tests for the Cointegrating Rank of a VAR Process (2001, background): “Saikkonen and Luukkonen (1997) Saikkonen and Lütkepohl (2000a)”