12-097/III - Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model

• Authors
  H. Peter Boswijk, University of Amsterdam; Michael Jansson, UC Berkeley; Morten Ø. Nielsen, Queen's University
• Publication date
  September 21, 2012

• Keywords
  Cointegration rank, efficiency, likelihood ratio test, vector autoregression
• JEL
  C12, C32