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Trend stationarity in the I(2) cointegration model

Rahbek, Anders; Kongsted, Hans Christian; Jørgensen, … - In: Journal of econometrics 90 (1999) 2, pp. 265-289

Persistent link: https://www.econbiz.de/10001382131

Asymptotic inference on cointegrating rank in partial systems

Harbo, Ingrid; Johansen, Søren; Nielsen, Bent; Rahbek, … - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 4, pp. 388-399

Persistent link: https://www.econbiz.de/10001251806

Asymptotics of the QMLE for a class of ARCH(q) models

Kristensen, Dennis (contributor); Rahbek, Anders (contributor) - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001702284

Non-stationary and no moments asymptotics for the ARCH model

Tolver Jensen, Søren (contributor); … - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001709225

Vector equilibrium correction models with non-linear discountinuous adjustments

Bec, Frédérique (contributor); Rahbek, Anders (contributor) - 2003 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001728534

Likelihood ratio testing for cointegration ranks in I(2) models

Bohn Nielsen, Heino (contributor); … - 2003

Persistent link: https://www.econbiz.de/10001839976

Asymptotic normality of the QMLE estimator of ARCH in the nonstationary case

Jensen, Søren Tolver; Rahbek, Anders - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 2, pp. 641-646

Persistent link: https://www.econbiz.de/10001978054

Vector equilibrium correction models with non-linear discontinuous adjustments

Bec, Frédérique; Rahbek, Anders - In: The econometrics journal 7 (2004) 2, pp. 628-651

Persistent link: https://www.econbiz.de/10002463704

Asymptotics of the QMLE for a class of ARCH(q) models

Kristensen, Dennis; Rahbek, Anders - In: Econometric theory 21 (2005) 5, pp. 946-961

Persistent link: https://www.econbiz.de/10003101947

An I(2) Cointegration Model with Piecewise Linear Trends : Likelihood Analysis and Application

Takamitsu, Kurita; Bohn Nielsen, Heino; Rahbek, Anders - 2009

This paper presents likelihood analysis of the I(2) cointegrated vector autoregression with piecewise linear deterministic terms. Limiting behavior of the maximum likelihood estimators are derived, which is used to further derive the limiting distribution of the likelihood ratio statistic for...

Persistent link: https://www.econbiz.de/10014206059