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

TY - JOUR

T1 - A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions

AU - Nielsen, Heino Bohn

N1 - JEL Classification: C32

PY - 2007

Y1 - 2007

N2 - 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

AB - 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

KW - Faculty of Social Sciences

KW - cointegrated VAR

KW - I(2)

KW - rank test

KW - Maximum-eigenvalue

U2 - 10.1016/j.econlet.2006.08.032

DO - 10.1016/j.econlet.2006.08.032

M3 - Journal article

SN - 0165-1765

VL - 94

SP - 445

EP - 451

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -