Generalized VECM formulation and cointegrating rank determination by Johansen method <Articles>
廣島大學經濟論叢 Volume 35 Issue 1
Page 53-70
published_at 2011-07-20
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この文献の参照には次のURLをご利用ください : https://doi.org/10.15027/31587
| File | |
| Title ( eng ) |
Generalized VECM formulation and cointegrating rank determination by Johansen method <Articles>
|
| Creator | |
| Source Title |
廣島大學經濟論叢
The Hiroshima Economic Review
|
| Volume | 35 |
| Issue | 1 |
| Start Page | 53 |
| End Page | 70 |
| Journal Identifire |
[ISSN] 0386-2704
[NCID] AN00213519
|
| Abstract |
This paper discusses the issues on what representation can be formulated based on vector autoregressions and how the cointegrating rank can be determined by the well-known Johansen method when the valid derivation of the conventional VECM is not possible. A generalized VECM representation is derived in connection with the cointegrating rank and determining the cointegrating rank by using the Johansen method is proposed under this representation. It is shown that the asymptotics and the procedure used for the rank determination under the conventional VECM are essentially applicable to the present situation.
|
| Keywords |
VECM
cointegrating rank
Johansen method
GRT
|
| NDC |
Economics [ 330 ]
|
| Language |
eng
|
| Resource Type | departmental bulletin paper |
| Publisher |
広島大学経済学会
|
| Date of Issued | 2011-07-20 |
| Rights |
Copyright (c) 2011 広島大学
|
| Publish Type | Version of Record |
| Access Rights | open access |
| Source Identifier |
[ISSN] 0386-2704
[NCID] AN00213519
|
