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Testing for codependence of cointegrated variables
Trenkler, Carsten; Weber, Enzo - In: Applied economics 45 (2013) 13/15, pp. 1953-1964
Persistent link: https://www.econbiz.de/10009758484
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Testing for codependence of non-stationary variables
Trenkler, Carsten; Weber, Enzo - 2010
Persistent link: https://www.econbiz.de/10008697059
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Codependence and cointegration
Trenkler, Carsten; Weber, Enzo - 2009
Persistent link: https://www.econbiz.de/10003908288
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Identifying shocks to business cycles with asynchronous propagation
Trenkler, Carsten; Weber, Enzo - In: Empirical economics : a journal of the Institute for … 58 (2020) 4, pp. 1815-1836
Persistent link: https://www.econbiz.de/10012219716
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The Polish crawling peg system : a cointegration analysis
Trenkler, Carsten - 2000
Persistent link: https://www.econbiz.de/10001528203
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Testing for the cointegrating rank in the presence of level shifts
Trenkler, Carsten - 2002
Persistent link: https://www.econbiz.de/10001700328
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The effects of ignoring level shifts on systems cointegration tests
Trenkler, Carsten - 2002
Persistent link: https://www.econbiz.de/10001730272
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The effects of ignoring level shifts on systems cointegration tests
Trenkler, Carsten - In: Allgemeines statistisches Archiv : AStA ; journal of … 89 (2005) 3, pp. 281-301
Persistent link: https://www.econbiz.de/10003050661
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Simple identification and specification of cointegrated VARMA models
Kascha, Christian; Trenkler, Carsten - In: Journal of applied econometrics 30 (2015) 4, pp. 675-702
Persistent link: https://www.econbiz.de/10011332854
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The effects of ignoring level shifts on systems cointegration tests
Trenkler, Carsten - 2002
In this paper I analyse the effects of ignoring level shifts in the data generating process (DGP) on systems cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures suggested by Johansen (1988, 1995) and Saikkonen & Lütkepohl...
Persistent link: https://www.econbiz.de/10009626747