Comparison of tests for the cointegrating rank of a VAR process with a structural shift
Year of publication: |
2000
|
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Authors: | Lütkepohl, Helmut ; Saikkonen, Pentti ; Trenkler, Carsten |
Institutions: | Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät |
Subject: | local power | test size | cointegration | vector autoregressive process | error correction model |
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