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

Ekonomisk statistik, Helsingfors

University of Jyväskylä

Forskningsoutput: Tidskriftsbidrag › Artikel › Vetenskaplig › Peer review

8 Citeringar (Scopus)

Originalspråk	Engelska
Referentgranskad vetenskaplig tidskrift	Journal of Time Series Analysis
Volym	29
Sidor (från-till)	421-443
Antal sidor	23
DOI	https://doi.org/10.1111/j.1467-9892.2007.00560.x
Status	Publicerad - 2008
MoE-publikationstyp	A1 Originalartikel i en vetenskaplig tidskrift

Åtkomst av dokument

10.1111/j.1467-9892.2007.00560.x

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Fulltext

Tests Against Stationary and Explosive Alternatives in Vector Autoregressive Models
Ahlgren, N. (Projektledare, akademisk)
01.01.2003 → 31.12.2009
Projekt: Externt finansierat projekt
INFERENCE ON COINTEGRATION IN VECTOR AUTOREGRESSIVE MODELS
Ahlgren, N. (Projektledare, akademisk)
01.01.1999 → 31.12.2002
Projekt: Externt finansierat projekt

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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",

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publisher = "Wiley-Blackwell",

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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

Åtkomst av dokument

OpenUrl-tillgänglighet

Projekt

Tests Against Stationary and Explosive Alternatives in Vector Autoregressive Models

INFERENCE ON COINTEGRATION IN VECTOR AUTOREGRESSIVE MODELS

Citera det här