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...
Main Author: | Marcus J. Chambers |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2015-05-01
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Series: | Econometrics |
Subjects: | |
Online Access: | http://www.mdpi.com/2225-1146/3/2/355 |
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