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A Conformity Test for Cointegration

Phoebus J. Dhrymes

Title:
A Conformity Test for Cointegration
Author(s):
Dhrymes, Phoebus J.
Date:
Type:
Working papers
Department:
Economics
Permanent URL:
Series:
Department of Economics Discussion Papers
Part Number:
750
Publisher:
Department of Economics, Columbia University
Publisher Location:
New York
Abstract:
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.
Subject(s):
Economics
Applied mathematics
Item views:
212
Metadata:
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