A Conformity Test for Cointegration
AbstractThis 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.
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Bibliographic InfoPaper provided by Columbia University, Department of Economics in its series Discussion Papers with number 1996_10.
Length: 30 pages
Date of creation: 1996
Date of revision:
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