Matches in SemOpenAlex for { <https://semopenalex.org/work/W1502760899> ?p ?o ?g. }
Showing items 1 to 99 of
99
with 100 items per page.
- W1502760899 abstract "The article proposes a general test for the cointegrating rank in vector autoregressive models. The test is based on the eigenvalues of the companion matrix, more precisely on the sum of the real parts of those closest to one. The roots of the companion matrix are often inspected as a diagnostic tool. Here this practice is elevated to the level of a formal test. The asymptotic distribution of the test statistic is derived and tabulated by simulation. The new test is compared with the likelihood ratio test. Neither one of the tests is dominating the other over the entire parameter space. The new test safeguards the researcher against making spurious inferences on the cointegrating rank in the presence of explosive roots and of integration of higher order than one. A numerical illustration is given. It is shown that the limiting distribution of the eigenvalues closest to one of the companion matrix is free of nuisance parameters, a useful result in its own right. When applied to a univariate autoregressive model, the augmented Dickey—Fuller test is obtained. The new test can be regarded as the multivariate version of the Dickey—Fuller coefficent test of a unit root. When there is a single common trend, the suggested test statistic has the same asymptotic distribution as the least squares estimate of the autoregressive coeficent in a univariate first order autoregressive model with a unit root. In the numerical application the test is applied to Swedish money demand data, and it is shown how to determine the cointegrating rank using the new test. The results from a small sample simulation experiment mimicking the actual data used in the application are also discussed." @default.
- W1502760899 created "2016-06-24" @default.
- W1502760899 creator A5040794482 @default.
- W1502760899 creator A5043025560 @default.
- W1502760899 date "2003-12-31" @default.
- W1502760899 modified "2023-09-27" @default.
- W1502760899 title "A General Test for the Cointegrating Rank in Vector Autoregressive Models" @default.
- W1502760899 cites W2007662280 @default.
- W1502760899 cites W2027816389 @default.
- W1502760899 cites W2048919143 @default.
- W1502760899 cites W2076552736 @default.
- W1502760899 cites W2078565364 @default.
- W1502760899 cites W2082824263 @default.
- W1502760899 cites W2095364399 @default.
- W1502760899 cites W2124120883 @default.
- W1502760899 cites W2153562738 @default.
- W1502760899 cites W2157678754 @default.
- W1502760899 cites W2217969593 @default.
- W1502760899 hasPublicationYear "2003" @default.
- W1502760899 type Work @default.
- W1502760899 sameAs 1502760899 @default.
- W1502760899 citedByCount "2" @default.
- W1502760899 countsByYear W15027608992014 @default.
- W1502760899 crossrefType "posted-content" @default.
- W1502760899 hasAuthorship W1502760899A5040794482 @default.
- W1502760899 hasAuthorship W1502760899A5043025560 @default.
- W1502760899 hasConcept C101044782 @default.
- W1502760899 hasConcept C105795698 @default.
- W1502760899 hasConcept C114614502 @default.
- W1502760899 hasConcept C126352355 @default.
- W1502760899 hasConcept C133029050 @default.
- W1502760899 hasConcept C134306372 @default.
- W1502760899 hasConcept C141495983 @default.
- W1502760899 hasConcept C144341231 @default.
- W1502760899 hasConcept C145162277 @default.
- W1502760899 hasConcept C149782125 @default.
- W1502760899 hasConcept C159877910 @default.
- W1502760899 hasConcept C161584116 @default.
- W1502760899 hasConcept C164226766 @default.
- W1502760899 hasConcept C169857963 @default.
- W1502760899 hasConcept C185429906 @default.
- W1502760899 hasConcept C195561663 @default.
- W1502760899 hasConcept C199163554 @default.
- W1502760899 hasConcept C28826006 @default.
- W1502760899 hasConcept C33923547 @default.
- W1502760899 hasConcept C65778772 @default.
- W1502760899 hasConcept C87007009 @default.
- W1502760899 hasConcept C90119067 @default.
- W1502760899 hasConcept C9483764 @default.
- W1502760899 hasConceptScore W1502760899C101044782 @default.
- W1502760899 hasConceptScore W1502760899C105795698 @default.
- W1502760899 hasConceptScore W1502760899C114614502 @default.
- W1502760899 hasConceptScore W1502760899C126352355 @default.
- W1502760899 hasConceptScore W1502760899C133029050 @default.
- W1502760899 hasConceptScore W1502760899C134306372 @default.
- W1502760899 hasConceptScore W1502760899C141495983 @default.
- W1502760899 hasConceptScore W1502760899C144341231 @default.
- W1502760899 hasConceptScore W1502760899C145162277 @default.
- W1502760899 hasConceptScore W1502760899C149782125 @default.
- W1502760899 hasConceptScore W1502760899C159877910 @default.
- W1502760899 hasConceptScore W1502760899C161584116 @default.
- W1502760899 hasConceptScore W1502760899C164226766 @default.
- W1502760899 hasConceptScore W1502760899C169857963 @default.
- W1502760899 hasConceptScore W1502760899C185429906 @default.
- W1502760899 hasConceptScore W1502760899C195561663 @default.
- W1502760899 hasConceptScore W1502760899C199163554 @default.
- W1502760899 hasConceptScore W1502760899C28826006 @default.
- W1502760899 hasConceptScore W1502760899C33923547 @default.
- W1502760899 hasConceptScore W1502760899C65778772 @default.
- W1502760899 hasConceptScore W1502760899C87007009 @default.
- W1502760899 hasConceptScore W1502760899C90119067 @default.
- W1502760899 hasConceptScore W1502760899C9483764 @default.
- W1502760899 hasLocation W15027608991 @default.
- W1502760899 hasOpenAccess W1502760899 @default.
- W1502760899 hasPrimaryLocation W15027608991 @default.
- W1502760899 hasRelatedWork W1497122176 @default.
- W1502760899 hasRelatedWork W1507259579 @default.
- W1502760899 hasRelatedWork W1965687571 @default.
- W1502760899 hasRelatedWork W1972350933 @default.
- W1502760899 hasRelatedWork W1985031543 @default.
- W1502760899 hasRelatedWork W2004859797 @default.
- W1502760899 hasRelatedWork W2024395403 @default.
- W1502760899 hasRelatedWork W2035342034 @default.
- W1502760899 hasRelatedWork W2056307309 @default.
- W1502760899 hasRelatedWork W2085516189 @default.
- W1502760899 hasRelatedWork W2116680792 @default.
- W1502760899 hasRelatedWork W2126369420 @default.
- W1502760899 hasRelatedWork W2136112474 @default.
- W1502760899 hasRelatedWork W2147245827 @default.
- W1502760899 hasRelatedWork W2148655389 @default.
- W1502760899 hasRelatedWork W2292334483 @default.
- W1502760899 hasRelatedWork W253671218 @default.
- W1502760899 hasRelatedWork W2766349435 @default.
- W1502760899 hasRelatedWork W3123102153 @default.
- W1502760899 hasRelatedWork W3126114812 @default.
- W1502760899 isParatext "false" @default.
- W1502760899 isRetracted "false" @default.
- W1502760899 magId "1502760899" @default.
- W1502760899 workType "article" @default.