Testing for the Cointegrating Rank of a Conditional Vector Autoregressive Process with a Linear Time Trend.

The paper proposes new tests for the cointegrating rank of a conditional vector autoregressive process with weakly exogenous variables and a linear time trend. The vovel feature of the applied trend estimation techniques is that they impose the restriction of the cointegrating rank under the null hypothesis.

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Year of publication:	2000
Authors:	Kauppi, H.
Institutions:	Politiikan ja Talouden Tutkimuksen Laitos, Valtiotieteellinen tiedekunta
Subject:	TESTS \| AUTOREGRESSIVE MODEL \| EXOGENOUS VARIABLES

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Series:	University of Helsinki, Department of Economics.
Type of publication:	Book / Working Paper
Notes:	50 pages
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005625275