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A Multivariate Unit Root Test Based on the Modified Weighted Symmetric Estimator for VAR(p)

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  • Key-Il Shin

Abstract

Multivariate unit root tests for the VAR model have been commonly used in time series analysis. Several unit root tests were developed. Most of the estimators of coefficient matrices developed in the VAR model are obtained using ordinary least squares estimators. In this paper, we suggest a multivariate unit root test based on a modified weighted symmetric estimator. Using a limited Monte Carlo simulation, we compare the powers of the new test statistic and the test statistic suggested in Fuller (1996).

Suggested Citation

  • Key-Il Shin, 2004. "A Multivariate Unit Root Test Based on the Modified Weighted Symmetric Estimator for VAR(p)," Journal of Applied Statistics, Taylor & Francis Journals, vol. 31(5), pages 587-596.
    • Handle: RePEc:taf:japsta:v:31:y:2004:i:5:p:587-596
    DOI: 10.1080/02664760410001681774
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    Cited by:

    1. Jibo Chen & Keyao Chen & Guizhi Wang & Lingyan Wu & Xiaodong Liu & Guo Wei, 2019. "PM 2.5 Pollution and Inhibitory Effects on Industry Development: A Bidirectional Correlation Effect Mechanism," IJERPH, MDPI, vol. 16(7), pages 1-21, March.
    2. Kaddour Hadri & Eiji Kurozumi & Daisuke Yamazaki, 2015. "Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests," Manchester School, University of Manchester, vol. 83(6), pages 676-700, December.

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