Title of article
A “maximum-eigenvalue” test for the cointegration ranks in I(2) vector autoregressions
Author/Authors
Heino Bohn Nielsen، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
7
From page
445
To page
451
Abstract
A maximum-eigenvalue test for the number of stochastic I(2) trends in a vector autoregression is suggested. The asymptotic distribution coincides with the distribution of the I(1) maximum-eigenvalue test. In two examples, the test reconciles empirical evidence with plausible economic scenarios.
Keywords
Rank test , Cointegration , VAR , Maximum-eigenvalue , I(2)
Journal title
Economics Letters
Serial Year
2007
Journal title
Economics Letters
Record number
436176
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