Chapter

Hypothesis Testing for the Long‐Run Coefficients β

Søren Johansen

in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Published in print December 1995 | ISBN: 9780198774501
Published online November 2003 | e-ISBN: 9780191596476 | DOI: http://dx.doi.org/10.1093/0198774508.003.0007

Series: Advanced Texts in Econometrics

 							Hypothesis Testing for the Long‐Run Coefficients β

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A number of models defined by linear restrictions on the cointegrating vectors are solved by reduced rank regression or slight modifications of it. We calculate the degrees of freedom for likelihood ratio tests of various hypotheses, which are asymptotically χ2 distributed.

Keywords: cointegrating vectors; degrees of freedom; likelihood ratio test; linear restrictions; reduced rank regression

Chapter.  7763 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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