Testing for multicointegration
AbstractWe suggest how to redefine the multicointegration model of Granger and Lee (1990) in terms of an I(2) system and subsequently propose a one-step procedure for estimation and inference which will have favourable statistical properties compared to the two-step procedure suggested by Granger and Lee. With respect to the single equation residual based cointegration procedure for I(2) systems we tabulate new critical values that are necessary to accommodate the presence of deterministic components.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 56 (1997)
Issue (Month): 3 (November)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Engsted, Tom & Gonzalo, Jesús & Haldrup, Niels, . "Testing for multicointegration," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/750, Universidad Carlos III de Madrid.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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- repec:aah:aarhec:1997-3 is not listed on IDEAS
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