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Testing for Common Roots

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Author Info
Gourieroux, Christian
Monfort, Alan
Renault, Eric

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Abstract

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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Publisher Info
Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 57 (1989)
Issue (Month): 1 (January)
Pages: 171-85
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Handle: RePEc:ecm:emetrp:v:57:y:1989:i:1:p:171-85

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This page was last updated on 2009-12-8.

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