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Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes

Saikkonen, Pentti - In: Econometric reviews 18 (1999) 3, pp. 235-257

Persistent link: https://www.econbiz.de/10001404807

Reducing size distortions of parametric stationarity tests

Lanne, Markku; Saikkonen, Pentti - 2000

Persistent link: https://www.econbiz.de/10001470392

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2000

Persistent link: https://www.econbiz.de/10001543855

A review of systems cointegration tests

Hubrich, Kirsten; Lütkepohl, Helmut; Saikkonen, Pentti - In: Econometric reviews 20 (2001) 3, pp. 247-318

Persistent link: https://www.econbiz.de/10001606186

Testing for the cointegrating rank of a VAR process with level shift at unknown time

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2001

Persistent link: https://www.econbiz.de/10001618757

Testing for the cointegrating rank of a VAR process with structural shifts

Saikkonen, Pentti; Lütkepohl, Helmut - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 4, pp. 451-464

Persistent link: https://www.econbiz.de/10001521533

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - In: The econometrics journal 4 (2001) 4, pp. 287-310

Persistent link: https://www.econbiz.de/10001651359

Testing for the cointegrating rank of a var process with level shift at unknown time

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 2, pp. 647-662

Persistent link: https://www.econbiz.de/10001978069

Testing linearity in cointegrating transition regressions

Choi, In; Saikkonen, Pentti - In: The econometrics journal 7 (2004) 2, pp. 341-365

Persistent link: https://www.econbiz.de/10002463466

Reducing Size Distortions of Parametric Stationarity Tests

Lanne, Markku; Saikkonen, Pentti - 2003

The use of asymptotic critical values in stationarity tests against the alternative of a unit root process is known to lead to over-rejections in finite samples when the considered process is stationary but highly persistent. We claim that, in recent parametric tests, this is caused by...

Persistent link: https://www.econbiz.de/10014076943