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

Heino Bohn Nielsen

doi:10.1016/j.econlet.2006.08.032

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

Heino Bohn Nielsen

Department of Economics

1 Citation (Scopus)

Abstract

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
Journal	Economics Letters
Volume	94
Issue number	3
Pages (from-to)	445-451
ISSN	0165-1765
DOIs	https://doi.org/10.1016/j.econlet.2006.08.032
Publication status	Published - 2007

Keywords

Faculty of Social Sciences
cointegrated VAR
I(2)
rank test
Maximum-eigenvalue

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10.1016/j.econlet.2006.08.032

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

abstract = "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",

keywords = "Faculty of Social Sciences, cointegrated VAR, I(2), rank test, Maximum-eigenvalue",

author = "Nielsen, {Heino Bohn}",

note = "JEL Classification: C32",

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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 -

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

Abstract

Keywords

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