The Wald-Type Test of a Normalization of Cointegrating Vectors
نویسندگان
چکیده
منابع مشابه
The Wald-type Test of a Normalization of Cointegrating Vectors
Vector autoregressive (VAR) models have often been used in the econometric literature as useful models to describe stationary/non-stationary time series. Additionally cointegrating vectors are of primary interest for researchers who investigate the long-run stable relationship between economic variables. In VAR models it is well known that cointegrating vectors are identifiable only up to their...
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چکیده ندارد.
A Wald test of restrictions on the cointegrating space based on Johansen ’ s estimator *
A test is derived of the hypothesis that the cointegrating space of a collection of I(1) variables contains a vector subject to a set of linear restrictions. Applications to the problem of testing for irreducible cointegrating relations, and also structural hypotheses, are discussed. 1998 Elsevier Science S.A.
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The Wald test for linear restrictions on cointegrating vectors is compared in nite samples using the Monte Carlo method. The Wald test within the vector error-correction based methods of Bewley et al. fully modiied ordinary least squares method of Phillips and Hansen (1990), and the band spectral techniques of Phillips (1991) are considered. In terms of test size, Jo-hansen's method seems to be...
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ژورنال
عنوان ژورنال: JOURNAL OF THE JAPAN STATISTICAL SOCIETY
سال: 2007
ISSN: 1348-6365,1882-2754
DOI: 10.14490/jjss.37.191