A REVIEW OF SYSTEMS COINTEGRATION TESTS

By K. Hubrich, Helmut Lütkepohl, Pentti Saikkonen. 2001

130 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/edbec5bf412d54f9a99047d288f713cdc77bdec0

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Citations in the corpus

A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems (2000, background): “Another simple method is proposed by Dolado & LuÈ tkepohl (1996)Ð in what follows denoted DLÐ which guarantees standard v 2 asymptotics for the Wald tests performed on the coeý cients of integrated or cointegrated VAR processes with I(1) variables, and it also avoids possible pretest biases.”
The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries (2005, unknown): “stock per head among the OECD countries in our sample (see Table 3 in Kamps (2004)).”
Maximum Eigenvalue versus Trace Tests for the Cointegrating Rank of a VAR Process (2001, methodology): “Most of the limiting distributions in Table 2 were derived by Johansen (1995) and Saikkonen and Lütkepohl (1999).”
Energy consumption and income in G-7 countries (2006, methodology): “The time series properties of the series were checked by five different unit root tests.3 And also, three different lag selection procedures 2 See Gonzalo (1994) and Hubrich, Lutkepohl, and Saikkonen (2001) for a review and comparison of methods.”
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time (2004, unknown): “…xt process from Toda (1994), which was also used by some other authors for investigating the properties of cointegrating rank tests (see, e.g., Hubrich, Lütkepohl, and Saikkonen (2001)): xt = [ ψ 0 0 In−r ] xt−1 + εt εt ∼ i.i.d.N ([ 0 0 ] [ Ir Θ Θ′ In−r ]) (5.1) where ψ= diag(ψ1 ψr) and Θ are…”