Test for cointegration rank in general vector autoregressions.
Johansen derived the asymptotic theory for his cointegration rank test statisic for a vector autoregression where the parameters are restricted so the process is integrated of order one. It is investigated to what extent these parameter restrictions are binding. The eigenvalues of Johansen’s eigenva...
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| Format: | Working paper |
| Langue: | English |
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Nuffield College (University of Oxford)
2009
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