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THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL

Nielsen, Heino Bohn; Rahbek, Anders - In: Econometric Theory 23 (2007) 04, pp. 615-637

Persistent link: https://www.econbiz.de/10005411802

ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH

Jensen, S ren Tolver; Rahbek, Anders - In: Econometric Theory 20 (2004) 06, pp. 1203-1226

Persistent link: https://www.econbiz.de/10005411616

ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS

Jensen, S ren Tolver; Rahbek, Anders - In: Econometric Theory 23 (2007) 04, pp. 761-766

Persistent link: https://www.econbiz.de/10005411753

ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS

Kristensen, Dennis; Rahbek, Anders - In: Econometric Theory 21 (2005) 05, pp. 946-961

Persistent link: https://www.econbiz.de/10005411967

COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A.M. Robert - In: Econometric Theory 26 (2010) 06, pp. 1719-1760

We analyze the properties of the conventional Gaussian-based cointegrating rank tests of Johansen (1996, Likelihood-Based Inference in Cointegrated Vector Autoregressive Models) in the case where the vector of series under test is driven by globally stationary, conditionally heteroskedastic...

Persistent link: https://www.econbiz.de/10008739826

TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS

Kristensen, Dennis; Rahbek, Anders - In: Econometric Theory 29 (2013) 06, pp. 1238-1288

Persistent link: https://www.econbiz.de/10010711576