A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

A maximum-eigenvalue test for the number of stochastic I(2) trends in a vector autoregression is suggested. The asymptotic distribution coincides with the distribution of the I(1) maximum-eigenvalue test. In two examples, the test reconciles empirical evidence with plausible economic scenarios
OriginalsprogEngelsk
TidsskriftEconomics Letters
Vol/bind94
Udgave nummer3
Sider (fra-til)445-451
ISSN0165-1765
DOI
StatusUdgivet - 2007

Bibliografisk note

JEL Classification: C32

ID: 1385558