.png){kind=icon}
返回
POLYNOMIAL COINTEGRATION ESTIMATION AND TEST
.png){kind=icon}
PRE
AI
DOI：10.1016/0304-4076(93)01565-4.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
This paper develops statistical tools to analyze the multivariate time series which can be represented with a polynomial error correction model as introduced by Gregoir and Laroque (1993). We propose an identification criterion for the error correction terms, which fits with the estimation procedure. The estimation proceeds in a number of steps, through repeated applications of principal component analysis: test for the overall cointegration dimension and its decomposition into the dimensions of the error correction terms of various degrees, estimation of the error correction terms themselves, and finally estimation of the full model, given the previous results, by ordinary least squares and overall specification test. The asymptotic distribution of the test statistics at each of these various steps is nonstandard, and we provide statistical tables of its main percentiles, for the two cases where there is (or not) a constant term on the right-hand side of the model and the degree of the polynomial error correction terms is at most two.
Keyword:
UNIT ROOTS
MULTIVARIATE TIME SERIES
POLYNOMIAL COINTEGRATION
RANK TESTS
期刊
IF:
4
论文数:
5.2K
被引数:
3.0W
机构
暂无机构信息
引用论文
Research and Development of Rare Earth-Transition Metal Alloys as Permanent-Magnet Materials.png)
IF0
PREAI
分享收藏A SIMPLE ESTIMATOR OF COINTEGRATING VECTORS IN HIGHER-ORDER INTEGRATED SYSTEMS高阶集成系统中协整向量的简单估计ECONOMETRICA
ECONOMETRICAIF7.1
PREAI
分享收藏ESTIMATION AND HYPOTHESIS-TESTING OF COINTEGRATION VECTORS IN GAUSSIAN VECTOR AUTOREGRESSIVE MODELS高斯向量自回归模型中协整向量的估计与假设检验ECONOMETRICA
ECONOMETRICAIF7.1
PREAI
分享收藏分享收藏Synthesis and characterization of aromatic poly(ether ketone)s containing cyclotriphosphazene units
PREAI
分享收藏
查看更多内容