Testing for the Cointegrating Rank of a Conditional Vector Autoregressive Process with a Linear Time Trend
University of Helsinki, Department of Economics from Department of Economics
The paper proposes new tests for the cointegrating rank of a conditional vector autoregressive process with weakly exogenous variables and a linear time trend. The vovel feature of the applied trend estimation techniques is that they impose the restriction of the cointegrating rank under the null hypothesis.
Keywords: TESTS; AUTOREGRESSIVE MODEL; EXOGENOUS VARIABLES (search for similar items in EconPapers)
JEL-codes: C12 C13 C32 C52 (search for similar items in EconPapers)
Pages: 50 pages
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Persistent link: https://EconPapers.repec.org/RePEc:fth:helsec:497
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