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ID 29924
file
creator
NDC
Mathematics
abstract
This paper proposes a method to test whether or not a VECM representation for a vector time series consisting of I(1) components, claimed in Granger representation theorem, is derived validly from a VMA as the DGP. The test is also available for the detection of the occurrence of multicointegration etc. Utilizing the idea of the nonparametric test employed by Phillips and Oulialis (1990) and Shintani (2001) to detect the existence of cointegration or the cointegrating rank, we construct a test statistic and establish its limiting properties with some similarity to of those tests. Finite sample performances of the test proposed are also investigated through some Monte Carlo experiment.
journal title
The Hiroshima Economic Review
volume
Volume 34
issue
Issue 1
start page
43
end page
61
date of issued
2010-07-15
publisher
広島大学経済学会
issn
0386-2704
ncid
language
eng
nii type
Departmental Bulletin Paper
HU type
Departmental Bulletin Papers
DCMI type
text
format
application/pdf
text version
publisher
rights
Copyright (c) 2010 広島大学
department
Graduate School of Social Sciences
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