Testing cointegrating coefficients in vector autoregressive error correction models

被引：7

作者：

Hansen, G ^{[1
]}

Kim, JR ^{[1
]}

Mittnik, S ^{[1
]}

机构：

[1] Univ Kiel, Inst Stat & Econometr, D-24098 Kiel, Germany

来源：

ECONOMICS LETTERS | 1998年 / 58卷 / 01期

关键词：

cointegration; error correction model; Granger causality; chi-square test; Cauchy distribution;

D O I：

10.1016/S0165-1765(97)00199-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Tests of cointegrating coefficients in vector autoregressive error correction models ignore the Cauchy-like behavior of the estimator's finite-sample distribution. This causes excessive rejections of the null in standard chi(2) tests. We propose a Cauchy-based chi(2) test, and show, via simulation, that it yields adequate rejection rates. (C) 1998 Elsevier Science S.A.

引用

页码：1 / 5

页数：5

共 13 条

[1] ESTIMATION FOR PARTIALLY NONSTATIONARY MULTIVARIATE AUTOREGRESSIVE MODELS [J].

AHN, SK ;

REINSEL, GC .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1990, 85 (411) :813-823

[2] A NOTE ON WEAK EXOGENEITY IN VAR COINTEGRATED MODELS [J].

DOLADO, JJ .

ECONOMICS LETTERS, 1992, 38 (02) :139-143

[3] COINTEGRATION AND ERROR CORRECTION - REPRESENTATION, ESTIMATION, AND TESTING [J].

ENGLE, RF ;

GRANGER, CWJ .

ECONOMETRICA, 1987, 55 (02) :251-276

[4] INVESTIGATING CAUSAL RELATIONS BY ECONOMETRIC MODELS AND CROSS-SPECTRAL METHODS [J].

GRANGER, CWJ .

ECONOMETRICA, 1969, 37 (03) :424-438

[5]

HANSEN G, 1996, 911996 CHRIST ALBR U

[6] IDENTIFICATION OF THE LONG-RUN AND THE SHORT-RUN STRUCTURE - AN APPLICATION TO THE ISLM MODEL [J].

JOHANSEN, S ;

JUSELIUS, K .

JOURNAL OF ECONOMETRICS, 1994, 63 (01) :7-36

[7] STATISTICAL-ANALYSIS OF COINTEGRATION VECTORS [J].

JOHANSEN, S .

JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1988, 12 (2-3) :231-254

[8]

MITTNIK S, 1996, 941996 CHRIST ALBR U

[9] SOME EXACT DISTRIBUTION-THEORY FOR MAXIMUM-LIKELIHOOD ESTIMATORS OF COINTEGRATING COEFFICIENTS IN ERROR-CORRECTION MODELS [J].

PHILLIPS, PCB .

ECONOMETRICA, 1994, 62 (01) :73-93

[10] OPTIMAL INFERENCE IN COINTEGRATED SYSTEMS [J].

PHILLIPS, PCB .

ECONOMETRICA, 1991, 59 (02) :283-306

← 1 2 →