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ID 31587
file
creator
subject
VECM
cointegrating rank
Johansen method
GRT
NDC
Economics
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.
journal title
The Hiroshima Economic Review
volume
Volume 35
issue
Issue 1
start page
53
end page
70
date of issued
2011-07-20
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) 2011 広島大学
department
Graduate School of Social Sciences
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