廣島大學經濟論叢 35巻 3号
2012-03-15 発行

Cointegration Rank Tests In Vector ARMA Models <Articles>

本文ファイル
抄録
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.
キーワード
cointegration rank tests
vector ARMA models
IV
Johansen methodology
LR
権利情報
Copyright (c) 2012 広島大学