TESTS OF UNIT ROOTS AND COINTEGRATION HYPOTHESES IN ECONOMETRIC MODELS*
作者:
NAOTO KUNITOMO,
期刊:
Japanese Economic Review
(WILEY Available online 1996)
卷期:
Volume 47,
issue 1
页码: 79-109
ISSN:1352-4739
年代: 1996
DOI:10.1111/j.1468-5876.1996.tb00036.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
A number of statistical procedures for testing the unit roots hypotheses and the cointegration hypothesis have been proposed by statisticians and econometricians. This paper unifies many of the previous studies on unit roots tests and cointegration tests in the framework of a multivariate regression model and develops some new test statistics.We give a convenient quadratic representation of the limiting distributions of test statistics using stochastic integrals with respect to Brownian motions. The test procedures in this paper include the statistics for testing the unit root, the double unit roots, the seasonal unit roots, and the cointegrating relations for special cases.We also discuss some useful generalizations of unit roots tests and cointegration tests for empirical studies.
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