Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
作者:
SookFwe Yap,
GregoryC. Reinsel,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1995)
卷期:
Volume 90,
issue 429
页码: 253-267
ISSN:0162-1459
年代: 1995
DOI:10.1080/01621459.1995.10476509
出版商: Taylor & Francis Group
关键词: Brownian motion process;Cointegration;Error-correction model;Gaussian estimation;Likelihood ratio test;Reduced-rank estimator
数据来源: Taylor
摘要:
The Gaussian estimation of a partially nonstationary autoregressive model and the related issue of testing for cointegration using the likelihood ratio test procedure have been considered by others. In this article we extend the Gaussian estimation procedure to partially nonstationary autoregressive moving average models and derive the asymptotic properties of the full-rank and reduced-rank Gaussian estimators. Based on these results, the asymptotic distribution of the likelihood ratio statistic for testing the number of unit roots is obtained. A numerical example based on three U.S. interest rate series is used to illustrate the estimation and testing procedures. The finite-sample properties of the estimation and likelihood ratio test procedures are examined through a small simulation study.
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