Testing for the Cointegrating Rank of a VAR Process with a Time Trend

113 citations recorded by the source corpus.

How researchers see this paper

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

Maximum Eigenvalue versus Trace Tests for the Cointegrating Rank of a VAR Process (2001, background): “Perron and Campbell (1993) Saikkonen and Lütkepohl (2000a) Lütkepohl and Saikkonen (2000)”
Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions (2001, background): “In particular, the triangular systems considered by Phillips (1991) and Chambers (1998a, b) correspond in our context to the case of an identifying normalization given by â((I r, 0)â)ÿ1.”
Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries (2008, background): “Although uncorrelated errors would be desirable, they are not a precondition for the validity of the cointegration tests (Lutkepohl and Saikkonen, 2000).”
Estimating Fractional Cointegration in the Presence of Polynomial Trends (2003, unknown): “In this case besides the approach taken by Robinson and Marinucci (2000) which relies on the presence of trends, there are three di'erent ways in which deterministic polynomial trends could be handled.”
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time (2004, background): “647 The test generalizes the one proposed by Saikkonen and Lütkepohl (2000) (henceforth S&L) for the case of a known break date.”