Hubrich, K., H. Lutkepohl, and P. Saikkonen (1998), A Review of System Cointegration Tests, Humboldt-University Berlin, SFB 373, August 1998. Home/Search Document Details and Download
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Some Tests for the Cointegration Rank with a Reversed Set of.. - Breitung Self-citation (Lutkepohl) (Correct)
....not be used in practice. Of course it is interesting to compare our tests with alternative test procedures using the principal components approach as suggested by Harris (1997) and Snell (1998) Simulation studies for tests against the alternative r r 0 (e.g. Gonzalo (1994) Haug (1997) and Hubrich et al. 1998)) suggest that the relative performance of alternative test procedures depends, e.g. on the dimension of the system, the deterministic terms, the short run parameters and the sample size. Thus, before making recommendations for the choice between different test statistics a more careful ....
Hubrich, K., H. Lutkepohl, and P. Saikkonen (1998), A Review of System Cointegration Tests, Humboldt-University Berlin, SFB 373, August 1998.
Some Nonparametric Tests for Unit Roots and Cointegration - Breitung (1999) (Correct)
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Hubrich, K., H. Lutkepohl, and P. Saikkonen (1998), A Review of System Cointegration Tests, Humboldt-University Berlin, SFB 373, August 1998.
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