LR cointegration tests when some cointegrating relations are known
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DOI: 10.1007/BF02511644
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- Paruolo Paolo, "undated". "LR cointegration tests when some cointegrating relations are known," Economics and Quantitative Methods qf0106, Department of Economics, University of Insubria.
References listed on IDEAS
- Paruolo, Paolo, 1996. "On the determination of integration indices in I(2) systems," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 313-356.
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- Horvath, Michael T.K. & Watson, Mark W., 1995. "Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified," Econometric Theory, Cambridge University Press, vol. 11(5), pages 984-1014, October.
- Johansen, Soren, 1992.
"Determination of Cointegration Rank in the Presence of a Linear Trend,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 383-397, August.
- Johansen, S., 1991. "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers 76a, Helsinki - Department of Economics.
- Jurgen A. Doornik, 1998. "Approximations To The Asymptotic Distributions Of Cointegration Tests," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 573-593, December.
- Anders Rahbek & Rocco Mosconi, 1999. "Cointegration rank inference with stationary regressors in VAR models," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 76-91.
- repec:bla:jecsur:v:12:y:1998:i:5:p:573-93 is not listed on IDEAS
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Cited by:
- Bernasconi, Michele & Kirchkamp, Oliver & Paruolo, Paolo, 2009.
"Do fiscal variables affect fiscal expectations? Experiments with real world and lab data,"
Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 253-265, May.
- Bernasconi, Michele & Kirchkamp, Oliver & Paruolo, Paolo, 2004. "Do fiscal variables affect fiscal expectations? Experiments with real world and lab data," Sonderforschungsbereich 504 Publications 04-27, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Michele Bernasconi & Oliver Kirchkamp & Paolo Paruolo, 2009. "Do fiscal variables affect fiscal expectations? Experiments with real world and lab data," Post-Print hal-00688186, HAL.
- Bernasconi, Michele & Kirchkamp, Oliver & Paruolo, Paolo, 2004. "Do fiscal variables affect fiscal expectations? : Experiments with real world and lab data," Papers 04-27, Sonderforschungsbreich 504.
- Bernasconi, Michele & Kirchkamp, Oliver & Paruolo, Paolo, 2003.
"Expectations and Perceived Causality in Fiscal Policy : An Experimental Analysis Using Real World Data,"
Papers
03-03, Sonderforschungsbreich 504.
- Bernasconi, Michele & Kirchkamp, Oliver & Paruolo, Paolo, 2003. "Expectations and perceived causality in fiscal policy: an experimental analysis using real world data," Sonderforschungsbereich 504 Publications 03-03, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Bernasconi Michele & Kirchkamp Oliver & Paruolo Paolo, 2003. "Expectations and perceived causality in fiscal policy: an experimental analysis using real world data," Economics and Quantitative Methods qf0224, Department of Economics, University of Insubria.
- Giuseppe Cavaliere & Luca Fanelli & Paolo Paruolo, 2009. "Tests for cointegration rank and choice of the alternative," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(2), pages 169-191, July.
- Bertocco Giancarlo & Fanelli Luca & Paruolo Paolo, 2002. "On the determinants of inflation in Italy: evidence of cost-push effects before the European Monetary Union," Economics and Quantitative Methods qf0223, Department of Economics, University of Insubria.
- Cavaliere Giuseppe & Fanelli Luca & Paruolo Paolo, 2001. "Determining the number of cointegrating relations under rank constraints," Economics and Quantitative Methods qf0109, Department of Economics, University of Insubria.
- Roger Hammersland, 2004. "Large T and small N : A three-step approach to the identification of cointegrating relationships in time series models with a small cross-sectional dimension," Working Paper 2004/15, Norges Bank.
- Omtzigt Pieter, 2002. "Automatic identification and restriction of the cointegration space," Economics and Quantitative Methods qf0213, Department of Economics, University of Insubria.
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Keywords
Cointegration; likelihood ratio; unit roots;All these keywords.
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