Statistical inference on cointegration rank in error correction models with stationary covariates.

This paper aims to extend the cointegration rank test to error correction models with exogenous stationary covariates. The distribution of the likelihood ratio statistic is a function of the canonical correlations between the equation errors with and without the covariates. The distribution approa...

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Detalles Bibliográficos

Publicado en:	Journal of Econometrics Vol. 85; no. 2; pp. 339 - 386
Autor principal:	Seo, Byeongseon
Formato:	Artículo
Publicado:	Elsevier Science August 1998
Materias:	Error analysis in mathematics Probability theory Stationary processes Distribution (Probability theory) Canonical correlation (Statistics)
Acceso en línea:	Ver este registro en EBSCOhost