A Wald test of restrictions on the cointegrating space based on Johansen ’ s estimator *
نویسنده
چکیده
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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