Tests against Stationary and Explosive Alternatives in Vector Autoregressive Models

Niklas Ahlgren, Jukka Nyblom

Research output: Contribution to journalArticleScientificpeer-review

6 Citations (Scopus)
Original languageEnglish
Peer-reviewed scientific journalJournal of Time Series Analysis
Volume29
Pages (from-to)421-443
Number of pages23
DOIs
Publication statusPublished - 2008
MoE publication typeA1 Journal article - refereed

Keywords

  • asymptotic local power
  • cointegration
  • companion matrix
  • unit root
  • COINTEGRATION VECTORS

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