Testing for the cointegration rank when some cointegrating directions are changing

A-Tier

Journal: Journal of Econometrics

Year: 2005

Volume: 124

Issue: 2

Pages: 269-310

Authors (3)

Andrade, Philippe (Federal Reserve Bank of Boston) Bruneau, Catherine (not in RePEc) Gregoir, Stephane (Toulouse School of Economics (...)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count