Hubrich, Kirstin; Lutkepohl, Helmut; Saikkonen, Pentti - In: Econometric Reviews 20 (2001) 3, pp. 247-318
The literature on systems cointegration tests is reviewed and the various sets of assumptions for the asymptotic validity of the tests are compared within a general unifying framework. The comparison includes likelihood ratio tests, Lagrange multiplier and Wald type tests, lag augmentation...