DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND
Tóm tắt
Từ khóa
Tài liệu tham khảo
Berger R. L., 1984, Testing Hypotheses Concerning Unions of Linear Subspaces, Journal of the American Statistical Association, 79, 158, 10.1080/01621459.1984.10477079
Johansen S., 1990, Maximum Likelihood Estimation and Inference on Cointegration — with Applications to the Demand for Money, BULLETIN, 52, 169
Johansen S.andJuselius K.(1991). ‘Structural Tests in a Multivariate Cointegration Analysis of the PPP and UIP for UK’ Journal of Econometrics forthcoming.