Tests for cointegration rank and choice of the alternative

Giuseppe Cavaliere, Luca Fanelli () and Paolo Paruolo

Statistical Methods & Applications, 2009, vol. 18, issue 2, 169-191

Keywords: Cointegration rank; Likelihood ratio; Asymptotic power; Unit roots; Brownian motion (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s10260-007-0084-2

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