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The Rank of a Sub-Matrix of Cointegration

Listed author(s):
  • Kurozumi, Eiji

This paper proposes a test of the rank of the sub-matrix of b, where b is a cointegrating matrix. In addition, the sub-matrix of d, an orthogonal complement to b, is investigated. We show that information on the rank of the sub-matrix of b and/or d is useful in several situations. We construct the test statistic by using the eigenvalues of the quadratic form of the sub-matrix. We show that the test statistic has a limiting chi-squared distribution when the data is non-trending, and we propose a conservative test when the data is trending. Finite sample simulations show that, although the simulation settings are limited, the proposed test works well.

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Paper provided by Graduate School of Economics, Hitotsubashi University in its series Discussion Papers with number 2002-15.

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Length: 34 p.
Date of creation: Mar 2003
Handle: RePEc:hit:econdp:2002-15
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