A Conformity Test for Cointegration
Phoebus J. Dhrymes
- A Conformity Test for Cointegration
- Dhrymes, Phoebus J.
- Working papers
- Permanent URL:
- Department of Economics Discussion Papers
- Part Number:
- Department of Economics, Columbia University
- Publisher Location:
- New York
- This paper formulates a conformity test for cointegration in the context of a VAR specification for a multivariate I(1) process. The test statistic is a function of the characteristic roots of the sample covariance matrix of a linear transformation of the cointegral vector; the latter is obtained from unrestricted estimator of the underlying parameters of the VAR. It is further shown that this test procedure is also applicable to the case where the I(1) process is a MIMA(k), i.e. a multivariate integrated moving average process, the moving average being of order k < ∞. The test statistic, under the null of cointegration, has a normal limiting distribution.
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