Comparisons of tests for multivariate cointegration
- 1 December 1992
- journal article
- Published by Springer Nature in Statistical Papers
- Vol. 33 (1) , 335-359
- https://doi.org/10.1007/bf02925336
Abstract
No abstract availableKeywords
This publication has 9 references indexed in Scilit:
- Introduction to Multiple Time Series AnalysisPublished by Springer Nature ,1991
- Analyse kointegrierter Variablen mittels vektorautoregressiver ModellePublished by Springer Nature ,1991
- MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEYOxford Bulletin of Economics and Statistics, 1990
- Asymptotic Properties of Residual Based Tests for CointegrationEconometrica, 1990
- Testing for Common TrendsJournal of the American Statistical Association, 1988
- Statistical analysis of cointegration vectorsJournal of Economic Dynamics and Control, 1988
- Testing for cointegration using principal components methodsJournal of Economic Dynamics and Control, 1988
- Co-Integration and Error Correction: Representation, Estimation, and TestingEconometrica, 1987
- ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTSJournal of Time Series Analysis, 1984