DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND
Author:
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1468-0084.1992.tb00008.x/fullpdf
Reference9 articles.
1. Nested Reduced-Rank Autoregressive Models for Multiple Time Series;Ahn;Journal of the American Statistical Association,1988
2. Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions;Anderson;Annals of Mathematical Statistics,1951
3. Testing Hypotheses Concerning Unions of Linear Subspaces;Berger;Journal of the American Statistical Association,1984
4. Co-integration and Error Correction: Representation, Estimation and Testing;Engle;Econometrica,1987
5. Statistical Analysis of Cointegration Vectors;Johansen;Journal of Economic Dynamics and Control,1988
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