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