Browsing Economics publications (MU) by Identifier "DOI: 10.2202/1941-1928.1057"
Now showing items 1-1 of 1
-
A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels
(Berkeley Electronic Press, 2010)A test for the rank of a vector error correction model (VECM) or panel VECM based on the well-known trace test is proposed. The proposed test employs instrumental variables (IV's)generated by a class of nonlinear functions ...