A Conformity Test for Cointegration.

This paper formulates a conformity test for cointegration for a multivariate I(1) process obeying a VAR specification. The test statistic is a function of the characteristic roots of the sample covariance matrix of the cointegral vector; the latter is obtained from the unrestricted estimation of the underlying parameters of the VAR.

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Year of publication:	1996
Authors:	Dhrymes, P.J.
Institutions:	Department of Economics, School of Arts and Sciences
Subject:	TESTS \| MATHEMATICS \| STATISTICS

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Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	30 pages
Classification:	C00 - Mathematical and Quantitative Methods. General ; C50 - Econometric Modeling. General ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005549161