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Likelihood-based cointegration tests in heterogeneous panels
Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - 1998
Persistent link: https://www.econbiz.de/10000991637
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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
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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
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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
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The seasonal KPSS statistic
Lyhagen, Johan - 2000
Persistent link: https://www.econbiz.de/10001445267
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Maximum likelihood estimation of the multivariate fractional cointegration model
Lyhagen, Johan - 1998
Persistent link: https://www.econbiz.de/10000984648
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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
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Bartlett corrections in cointegration testing
Jacobson, Tor; Larsson, Rolf - 1996
Persistent link: https://www.econbiz.de/10000953744
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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
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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