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A lag augmentation test for the cointegrating rank of a VAR process

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  • Lutkepohl, Helmut
  • Saikkonen, Pentti

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  • Lutkepohl, Helmut & Saikkonen, Pentti, 1999. "A lag augmentation test for the cointegrating rank of a VAR process," Economics Letters, Elsevier, vol. 63(1), pages 23-27, April.
    • Handle: RePEc:eee:ecolet:v:63:y:1999:i:1:p:23-27
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    References listed on IDEAS

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    1. Cragg, John G. & Donald, Stephen G., 1997. "Inferring the rank of a matrix," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 223-250.
    2. Saikkonen, Pentti & Lütkepohl, Helmut, 1999. "Local Power Of Likelihood Ratio Tests For The Cointegrating Rank Of A Var Process," Econometric Theory, Cambridge University Press, vol. 15(1), pages 50-78, February.
    3. Saikkonen, Pentti & Lütkepohl, HELMUT, 1996. "Infinite-Order Cointegrated Vector Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 12(5), pages 814-844, December.
    4. Perron, Pierre & Campbell, John Y, 1993. "A Note on Johansen's Cointegration Procedure When Trends Are Present," Empirical Economics, Springer, vol. 18(4), pages 777-789.
    5. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
    6. Choi, In, 1993. "Asymptotic Normality of the Least-Squares Estimates for Higher Order Autoregressive Integrated Processes with Some Applications," Econometric Theory, Cambridge University Press, vol. 9(2), pages 263-282, April.
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    Cited by:

    1. Al-Sadoon, Majid M., 2017. "A unifying theory of tests of rank," Journal of Econometrics, Elsevier, vol. 199(1), pages 49-62.
    2. Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 247-318.
    3. Perez, Maria P. & Ribera, Luis A. & Palma, Marco A., 2017. "Effects of trade and agricultural policies on the structure of the U.S. tomato industry," Food Policy, Elsevier, vol. 69(C), pages 123-134.
    4. Josheski, Dushko & Lazarov, Darko & Fotov, Risto & Koteski, Cane, 2011. "IS-LM model for US economy: testing in JMULTI," MPRA Paper 34024, University Library of Munich, Germany.

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