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ID 32374
file
creator
subject
cointegration rank tests
vector ARMA models
IV
Johansen methodology
LR
NDC
Economics
abstract
This paper proposes several parametric hypothesis tests to determine the cointegration rank in multivariate time series expressed as vector ARMA models. The tests are constructed based on the instrumental variables (Ⅳ) method. It is established that adopting critical values for the standard Johansen likelihood ratio (LR) test is valid in that the same limiting distribution reached. Some Monte Carlo experiments also show that the proposed tests exhibit sufficiently desirable finite sample performances.
journal title
The Hiroshima Economic Review
volume
Volume 35
issue
Issue 3
start page
19
end page
39
date of issued
2012-03-15
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) 2012 広島大学
department
Graduate School of Social Sciences
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