Similar Search Results

How close is a fractional process to a random walk with drift?

Larsson, Rolf - In: Journal of time series econometrics 7 (2015) 2, pp. 217-234

Persistent link: https://www.econbiz.de/10011291296

The finite sample distribution of the KPSS test

Hornok, Attila; Larsson, Rolf - In: The econometrics journal 3 (2000) 1, pp. 108-121

Persistent link: https://www.econbiz.de/10001532226

Bartlett corrections in cointegration testing

Jacobson, Tor; Larsson, Rolf - 1996

Persistent link: https://www.econbiz.de/10000953744

Likelihood-based cointegration tests in heterogeneous panels

Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - 1998

Persistent link: https://www.econbiz.de/10000991637

The joint moment generating function of quadratic forms in multivariate autoregressive series

Abadir, Karim Maher - In: Econometric theory 12 (1996) 4, pp. 682-704

Persistent link: https://www.econbiz.de/10001210204

The joint moment generating function of quadratic forms in multivariate autoregressive series : the case with deterministic components

Abadir, Karim Maher; Larsson, Rolf - 1998

Persistent link: https://www.econbiz.de/10001591530

Likelihood-based cointegration tests in heterogeneous panels

Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - In: The econometrics journal 4 (2001) 1, pp. 109-142

Persistent link: https://www.econbiz.de/10001612299

The joint moment generating function of quadratic forms in multivariate autoregressive series : the case with deterministic components

Abadir, Karim Maher; Larsson, Rolf - In: Econometric theory 17 (2001) 1, pp. 221-246

Persistent link: https://www.econbiz.de/10001556101

The joint moment generating function of quadratic forms in multivariate autoregressive series

Abadir, Karim Maher; Larsson, Rolf - 1994

Persistent link: https://www.econbiz.de/10000895297

Likelihood-Based Cointegration Tests in Heterogeneous Panels

Larsson, Rolf; Lyhagen, Johan; Lothgren, Mickael - 2001

This paper presents a maximum likelihood panel test of the cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established. Based on...

Persistent link: https://www.econbiz.de/10014125960