The Likelihood Ratio Test for the Rank of a Cointegration Submatrix*
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.1468-0084.2006.00463.x/fullpdf
Reference27 articles.
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2. ‘Admissibility of the likelihood ratio test when the parameter space is restricted under the alternative’;Andrews;Econometrica,1996
3. ‘A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle’;Beveridge;Journal of Monetary Economics,1981
4. ‘Testing identifiability of cointegrating vectors’;Boswijk;Journal of Business and Economic Statistics,1996
5. ‘Identifying, estimating and testing restricted cointegrated systems: an overview’;Boswijk;Statistica Neerlandica,2004
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