A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions

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A maximum-eigenvalue test for the number of stochastic I(2) trends in a vector autoregression is suggested. The asymptotic distribution coincides with the distribution of the I(1) maximum-eigenvalue test. In two examples, the test reconciles empirical evidence with plausible economic scenarios
Original languageEnglish
JournalEconomics Letters
Issue number3
Pages (from-to)445-451
Publication statusPublished - 2007

ID: 1385558