Testing for Common Roots.

In this paper, the authors propose a simple procedure for testing the existence of common roots in lag polynomials. They first show, by using a generalized Bezout property, that this hypothesis can be put under a "mixed" form that is linear with respect to the auxiliary parameters and with respect to the initial parameters. It follows that the test procedures can be implemented only by using regressions packages. Copyright 1989 by The Econometric Society.

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Year of publication:	1989
Authors:	Gourieroux, Christian ; Monfort, Alan ; Renault, Eric
Published in:	Econometrica. - Econometric Society. - Vol. 57.1989, 1, p. 171-85
Publisher:	Econometric Society

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005342089