Tests against Stationary and Explosive Alternatives in Vector Autoregressive Models

Niklas Ahlgren; Jukka Nyblom

doi:10.1111/j.1467-9892.2007.00560.x

Tests against Stationary and Explosive Alternatives in Vector Autoregressive Models

Niklas Ahlgren, Jukka Nyblom

Statistics, Helsinki

University of Jyväskylä

Research output: Contribution to journal › Article › Scientific › peer-review

8 Citations (Scopus)

Original language	English
Peer-reviewed scientific journal	Journal of Time Series Analysis
Volume	29
Pages (from-to)	421-443
Number of pages	23
DOIs	https://doi.org/10.1111/j.1467-9892.2007.00560.x
Publication status	Published - 2008
MoE publication type	A1 Journal article - refereed

Keywords

asymptotic local power
cointegration
companion matrix
unit root
COINTEGRATION VECTORS

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10.1111/j.1467-9892.2007.00560.x

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Full text

Tests Against Stationary and Explosive Alternatives in Vector Autoregressive Models
Ahlgren, N.
01.01.2003 → 31.12.2009
Project: Externally funded project
INFERENCE ON COINTEGRATION IN VECTOR AUTOREGRESSIVE MODELS
Ahlgren, N.
01.01.1999 → 31.12.2002
Project: Externally funded project

Cite this

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title = "Tests against Stationary and Explosive Alternatives in Vector Autoregressive Models",

keywords = "asymptotic local power, cointegration, companion matrix, unit root, COINTEGRATION VECTORS",

author = "Niklas Ahlgren and Jukka Nyblom",

year = "2008",

doi = "10.1111/j.1467-9892.2007.00560.x",

language = "English",

volume = "29",

pages = "421--443",

journal = "Journal of Time Series Analysis",

issn = "1467-9892",

publisher = "Wiley-Blackwell",

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TY - JOUR

T1 - Tests against Stationary and Explosive Alternatives in Vector Autoregressive Models

AU - Ahlgren, Niklas

AU - Nyblom, Jukka

PY - 2008

Y1 - 2008

KW - asymptotic local power

KW - cointegration

KW - companion matrix

KW - unit root

KW - COINTEGRATION VECTORS

U2 - 10.1111/j.1467-9892.2007.00560.x

DO - 10.1111/j.1467-9892.2007.00560.x

M3 - Article

SN - 1467-9892

VL - 29

SP - 421

EP - 443

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

ER -

Tests against Stationary and Explosive Alternatives in Vector Autoregressive Models

Keywords

Access to Document

OpenUrl availability

Projects

Tests Against Stationary and Explosive Alternatives in Vector Autoregressive Models

INFERENCE ON COINTEGRATION IN VECTOR AUTOREGRESSIVE MODELS

Cite this