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Trend adjustment prior to testing for the cointegrating rank of a VAR process

Saikkonen, Pentti; Lütkepohl, Helmut - 1997

Testing the cointegrating rank of a vector autoregressive process which may have a deterministic linear trend is considered. Previous proposals for dealing with such a situation are either to allow for a deterministic trend term in computing a suitable test statistic or else remove the linear...

Persistent link: https://www.econbiz.de/10009659627

Order selection in testing for the cointegrating rank of a VAR process

Lütkepohl, Helmut; Saikkonen, Pentti - 1997

autoregressive (VAR) process is investigated. It is shown that the asymptotic distribution of likelihood ratio (LR) tests for the … criterion is used for choosing the lag length. A similar result also holds if the true DGP is an in finite order VAR. In a …

Persistent link: https://www.econbiz.de/10009660377

Performance of Granger causality in the presence of a confounding variable

Aslam, Rizwan; Asghar, Zahid - In: Asian African journal of economics and econometrics 12 (2012) 1, pp. 71-78

Persistent link: https://www.econbiz.de/10009712046

Nowcasting causality in mixed frequency vector autoregressive models

Götz, Thomas B.; Hecq, Alain W. J. - In: Economics letters 122 (2014) 1, pp. 74-78

Persistent link: https://www.econbiz.de/10010393951

Application of bootstrap methods in investigation of size of the Granger causality test for integrated VAR systems

Lach, Łukasz - In: Managing global transitions : international research journal 8 (2010) 2, pp. 167-186

Persistent link: https://www.econbiz.de/10009568035

Testing for the cointegrating rank of a VAR process with an intercept

Saikkonen, Pentti; Lütkepohl, Helmut - 1998

Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius and others we also consider an alternative class of tests which is based on estimating the trend parameters of the...

Persistent link: https://www.econbiz.de/10009578014

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

Saikkonen, Pentti; Lütkepohl, Helmut - 2001

Tests for the cointegrating rank of a vector autoregressive process are considered which allow for possible exogenous shifts in the mean of the data generation process. The break points are assumed to be known a priori. It is proposed to estimate and remove the deterministic terms such as mean,...

Persistent link: https://www.econbiz.de/10009578552