Tests for Cointergration Rank and the Initial Condition

Niklas Ahlgren, Mikael Juselius

Research output: Book/ReportCommissioned reportProfessional

Original languageEnglish
Place of PublicationHelsinki
PublisherHanken School of Economics
Number of pages46
ISBN (Print)978-952-232-031-5
Publication statusPublished - 2009
MoE publication typeD4 Published development or research report or study

Publication series

NameHanken School of Economics, Working Papers
PublisherHanken School of Economics
No.539
ISSN (Print)0357-4598

Keywords

  • 512 Business and Management
  • asymptotic local power
  • cointegration
  • companion matrix
  • convergence
  • initial condition
  • likelihood ratio test
  • unit root

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