TESTING FOR THE EXISTENCE OF ANI(1) VECM REPRESENTATION <Articles>
廣島大學經濟論叢 Volume 34 Issue 1
Page 43-61
published_at 2010-07-15
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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/10.15027/29924
| File | |
| Title ( eng ) |
TESTING FOR THE EXISTENCE OF ANI(1) VECM REPRESENTATION <Articles>
|
| Creator | |
| Source Title |
廣島大學經濟論叢
The Hiroshima Economic Review
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| Volume | 34 |
| Issue | 1 |
| Start Page | 43 |
| End Page | 61 |
| Journal Identifire |
[ISSN] 0386-2704
[NCID] AN00213519
|
| 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.
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| NDC |
Mathematics [ 410 ]
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| Language |
eng
|
| Resource Type | departmental bulletin paper |
| Publisher |
広島大学経済学会
|
| Date of Issued | 2010-07-15 |
| Rights |
Copyright (c) 2010 広島大学
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| Publish Type | Version of Record |
| Access Rights | open access |
| Source Identifier |
[ISSN] 0386-2704
[NCID] AN00213519
|
