A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions

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Standard

A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions. / Nielsen, Heino Bohn.

I: Economics Letters, Bind 94, Nr. 3, 2007, s. 445-451.

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

Harvard

Nielsen, HB 2007, 'A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions', Economics Letters, bind 94, nr. 3, s. 445-451. https://doi.org/10.1016/j.econlet.2006.08.032

APA

Nielsen, H. B. (2007). A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions. Economics Letters, 94(3), 445-451. https://doi.org/10.1016/j.econlet.2006.08.032

Vancouver

Nielsen HB. A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions. Economics Letters. 2007;94(3):445-451. https://doi.org/10.1016/j.econlet.2006.08.032

Author

Nielsen, Heino Bohn. / A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions. I: Economics Letters. 2007 ; Bind 94, Nr. 3. s. 445-451.

Bibtex

@article{b49183a083ca11dcbee902004c4f4f50,
title = "A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions",
abstract = "A maximum-eigenvalue test for the number of stochastic I(2) trends in a vector autoregression is suggested. The asymptotic distribution coincides with the distribution of the I(1) maximum-eigenvalue test. In two examples, the test reconciles empirical evidence with plausible economic scenarios",
keywords = "Faculty of Social Sciences, cointegrated VAR, I(2), rank test, Maximum-eigenvalue",
author = "Nielsen, {Heino Bohn}",
note = "JEL Classification: C32",
year = "2007",
doi = "10.1016/j.econlet.2006.08.032",
language = "English",
volume = "94",
pages = "445--451",
journal = "Economics Letters",
issn = "0165-1765",
publisher = "Elsevier",
number = "3",

}

RIS

TY - JOUR

T1 - A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions

AU - Nielsen, Heino Bohn

N1 - JEL Classification: C32

PY - 2007

Y1 - 2007

N2 - A maximum-eigenvalue test for the number of stochastic I(2) trends in a vector autoregression is suggested. The asymptotic distribution coincides with the distribution of the I(1) maximum-eigenvalue test. In two examples, the test reconciles empirical evidence with plausible economic scenarios

AB - A maximum-eigenvalue test for the number of stochastic I(2) trends in a vector autoregression is suggested. The asymptotic distribution coincides with the distribution of the I(1) maximum-eigenvalue test. In two examples, the test reconciles empirical evidence with plausible economic scenarios

KW - Faculty of Social Sciences

KW - cointegrated VAR

KW - I(2)

KW - rank test

KW - Maximum-eigenvalue

U2 - 10.1016/j.econlet.2006.08.032

DO - 10.1016/j.econlet.2006.08.032

M3 - Journal article

VL - 94

SP - 445

EP - 451

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

IS - 3

ER -

ID: 1385558