The Wald-Type Test of a Normalization of Cointegrating Vectors
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- Kurozumi Eiji
- Department of Economics, Hitotsubashi University
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説明
This paper proposes a test for the normalization of cointegrating vectors. Our test is constructed using the unrestricted maximum likelihood estimator and then it may be seen as a Wald-type test. The test statistic is shown to be asymptotically bounded above by a chi-square distribution with one degree of freedom (χ12) and then we can conduct a conservative test using critical values of χ12.
収録刊行物
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- ＪＯＵＲＮＡＬ ＯＦ ＴＨＥ ＪＡＰＡＮ ＳＴＡＴＩＳＴＩＣＡＬ ＳＯＣＩＥＴＹ
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ＪＯＵＲＮＡＬ ＯＦ ＴＨＥ ＪＡＰＡＮ ＳＴＡＴＩＳＴＩＣＡＬ ＳＯＣＩＥＴＹ 37 (2), 191-205, 2007
日本統計学会
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詳細情報 詳細情報について
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- CRID
- 1390282680264021888
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- NII論文ID
- 110006570581
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- NII書誌ID
- AA1105098X
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- ISSN
- 13486365
- 18822754
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- MRID
- 2394595
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- NDL書誌ID
- 9362439
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- 本文言語コード
- en
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- 資料種別
- journal article
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- データソース種別
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- JaLC
- NDLサーチ
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- CiNii Articles
- KAKEN
- OpenAIRE
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- 抄録ライセンスフラグ
- 使用不可
