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A Conformity Test for Cointegration

Dhrymes, Phoebus J.

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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Academic Units
Economics
Publisher
Department of Economics, Columbia University
Series
Department of Economics Discussion Papers, 9596-10
Published Here
March 2, 2011

Notes

April 1996

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