Hubrich, Kirstin; Lütkepohl, Helmut; Saikkonen, Pentti - Sonderforschungsbereich 373, Quantifikation und … - 1998
The literature on systems cointegration tests is reviewed and the various sets of assumptions for the asymptotic validity of the tests are compared within a general unifying framework. The comparison includes likelihood ratio tests, Lagrange multiplier and Wald type tests, lag augmentation...
