A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions
Research output: Contribution to journal › Journal article › Research › peer-review
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
Original language | English |
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Journal | Economics Letters |
Volume | 94 |
Issue number | 3 |
Pages (from-to) | 445-451 |
ISSN | 0165-1765 |
DOIs | |
Publication status | Published - 2007 |
- Faculty of Social Sciences - cointegrated VAR, I(2), rank test, Maximum-eigenvalue
Research areas
ID: 1385558