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The likelihood ratio test for cointegration ranks in the I(2) model
Heino Bohn Nielsen
,
Anders Christian Rahbek
Department of Mathematical Sciences
Department of Economics
21
Citations (Scopus)
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Dive into the research topics of 'The likelihood ratio test for cointegration ranks in the I(2) model'. Together they form a unique fingerprint.
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Keyphrases
Cointegration Rank
100%
I(2)
100%
Likelihood Ratio Test
100%
Econometrics
50%
Likelihood Ratio
33%
Asymptotic Distribution
33%
I(2) Analysis
16%
Rank Selection
16%
Vector Autoregressive Model
16%
Two-step Estimation
16%
Rank Determination
16%
Size-dependent Properties
16%
Monte Carlo Simulation
16%
Test Statistic
16%
Two-step Procedure
16%
Statistical Methods
16%
Economics, Econometrics and Finance
Monte Carlo Simulation
100%