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- W1569445340 abstract "In this paper we consider the test of the rank of the sub-matrix of fl, the cointegrating matrix, when the process has a deterministic linear trend. We review the problem of the testing procedure proposed by Kurozumi (2003) and give the alternative test statistic that is asymptotically chi-square distributed. We also propose the test of the rank of the sub-matrix of fl?, the orthogonal matrix to fl. Monte Carlo simulations show that our tests proposed in this paper work fairly well in finite samples even when the tests proposed by Kurozumi (2003) perform poorly." @default.
- W1569445340 created "2016-06-24" @default.
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- W1569445340 date "2003-12-01" @default.
- W1569445340 modified "2023-09-27" @default.
- W1569445340 title "Testing the Rank of a Sub-Matrix of Cointegration with a Deterministic Trend" @default.
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