書誌事項
- タイトル別名
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- TESTING FOR THE EXISTENCE OF ANI(1) VECM REPRESENTATION <Articles>
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This paper proposes a method to test whether or not a VECM representation for a vector time series consisting of I(1) components, claimed in Granger representation theorem, is derived validly from a VMA as the DGP. The test is also available for the detection of the occurrence of multicointegration etc. Utilizing the idea of the nonparametric test employed by Phillips and Oulialis (1990) and Shintani (2001) to detect the existence of cointegration or the cointegrating rank, we construct a test statistic and establish its limiting properties with some similarity to of those tests. Finite sample performances of the test proposed are also investigated through some Monte Carlo experiment.
収録刊行物
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- 廣島大學經濟論叢
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廣島大學經濟論叢 34 (1), 43-61, 2010-07-15
広島大学経済学会
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詳細情報 詳細情報について
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- CRID
- 1390009224855390464
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- NII論文ID
- 120002260268
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- NII書誌ID
- AN00213519
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- DOI
- 10.15027/29924
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- NDL書誌ID
- 10782163
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- ISSN
- 03862704
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- 本文言語コード
- en
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- データソース種別
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- JaLC
- IRDB
- NDL
- CiNii Articles
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- 抄録ライセンスフラグ
- 使用可