A Jackknife Correction to a Test for Cointegration Rank
This paper investigates the performance of a jackknife correction to a test for cointegration rank in a vector autoregressive system. The limiting distributions of the jackknife-corrected statistics are derived and the critical values of these distributions are tabulated. Based on these critical val...
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| Formato: | Artigo |
| Idioma: | English |
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MDPI AG
2015-05-01
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| Series: | Econometrics |
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| Acceso en liña: | http://www.mdpi.com/2225-1146/3/2/355 |