Statistical inference on cointegration rank in error correction models with stationary covariates.
This paper aims to extend the cointegration rank test to error correction models with exogenous stationary covariates. The distribution of the likelihood ratio statistic is a function of the canonical correlations between the equation errors with and without the covariates. The distribution approa...
| Publicado en: | Journal of Econometrics Vol. 85; no. 2; pp. 339 - 386 |
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| Formato: | Artículo |
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Elsevier Science
August 1998
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=512687342&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 512687342 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 03044076 ECM jtl: Journal of Econometrics issn: 03044076 maglogo: N pubinfo: dt: August 1998 vid: 85 iid: 2 pid: 1004 pub: Elsevier Science artinfo: ui: 512687342 10.1016/S0304-4076(97)00105-X ppf: 339 ppct: 47 formats: tig: atl: Statistical inference on cointegration rank in error correction models with stationary covariates. aug: au: Seo, Byeongseon su: Error analysis in mathematics Probability theory Stationary processes Distribution (Probability theory) Canonical correlation (Statistics) sug: subj: Error analysis in mathematics Probability theory Stationary processes Distribution (Probability theory) Canonical correlation (Statistics) ab: This paper aims to extend the cointegration rank test to error correction models with exogenous stationary covariates. The distribution of the likelihood ratio statistic is a function of the canonical correlations between the equation errors with and without the covariates. The distribution approaches the chi-squared distribution as the stationary covariates lower the canonical correlations. This enables more powerful inference concerning the determination of the cointegration rank. Reprinted by permission of the publisher. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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