Determination of Cointegrating Rank

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:

Series: Advanced Texts in Econometrics

 							Determination of Cointegrating Rank

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Contains a procedure for determination of cointegrating rank in the vector autoregressive model in the presence of deterministic terms. The asymptotic analysis of the trace test shows that the procedure is consistent and that the correct value of the rank is found with a high probability.

Keywords: asymptotic analysis; cointegrating rank; trace test

Chapter.  5231 words. 

Subjects: Econometrics and Mathematical Economics

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