This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

A Conformity Test for Cointegration

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Dhrymes, P.J.
Abstract

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.

Download Info
To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Publisher Info
Paper provided by Columbia University, Department of Economics in its series Discussion Papers with number 1996_10.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 30 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:clu:wpaper:1996_10

Contact details of provider:
Postal: 1022 International Affairs Building, 420 West 118th Street, New York, NY 10027
Phone: (212) 854-3680
Fax: (212) 854-8059
Web page: http://www.econ.columbia.edu/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Discussion Paper Coordinator).

Related research
Keywords: TESTS; MATHEMATICS; STATISTICS;

Find related papers by JEL classification:
C00 - Mathematical and Quantitative Methods - - General - - - General
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

Statistics
Access and download statistics

Did you know? You too can volunteer for RePEc, for example by providing information about publications in your institution.

This page was last updated on 2009-12-2.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.