A Wald test of restrictions on the cointegrating space based on Johansen's estimator

被引：4

作者：

Davidson, J ^{[1
]}

机构：

[1] Cardiff Business Sch, Cardiff CF1 3EU, S Glam, Wales

来源：

ECONOMICS LETTERS | 1998年 / 59卷 / 02期

关键词：

cointegration; irreducible cointegrating vector; Johansen; vector error correction; Wald test;

D O I：

10.1016/S0165-1765(98)00042-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 1998 Elsevier Science S.A.

引用

页码：183 / 187

页数：5

共 7 条

[1]

DAVIDSON J, 1994, OXFORD B ECON STAT, V56, P103

[2]

DAVIDSON J, 1997, INPRESS J ECONOMETRI

[3] MAXIMUM-LIKELIHOOD-ESTIMATION AND INFERENCE ON COINTEGRATION - WITH APPLICATIONS TO THE DEMAND FOR MONEY [J].