.png){kind=icon}
返回
Testing cointegration in infinite order vector autoregressive processes
.png){kind=icon}
PRE
AI
DOI：10.1016/S0304-4076(97)00036-5.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 studies test procedures which can be used to determine the cointegrating rank in infinite order vector autoregressive processes. The considered tests are analogs or close versions of previous likelihood ratio tests obtained for finite-order Gaussian vector autoregressive processes. It is shown that the use of the likelihood ratio tests is justified even when the data are generated by an infinite order non-Gaussian vector autoregressive process. New rests are also developed for cases where intercept terms are included in the cointegrating relations, These tests are based on a new approach of estimating the intercept terms. They have the property that, under the null hypothesis, the same asymptotic distribution theory applies as in the case where the values of the intercept terms are a priori known and not estimated. A limited simulation study indicates that the new tests can be considerably more powerful than their previous counterparts. (C) 1997 Elsevier Science S.A.
Keyword:
cointegration
infinite order vector autoregression
likelihood ratio test
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
4
论文数:
5.3K
被引数:
3.0W
机构
暂无机构信息
引用论文
A review of the beneficiation of copper-cobalt-bearing minerals in the Democratic Republic of Congo
OAAI
OAAI分享收藏Research and Development of Rare Earth-Transition Metal Alloys as Permanent-Magnet Materials.png)
IF0
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ESTIMATION AND TESTING FOR UNIT ROOTS IN A PARTIALLY NONSTATIONARY VECTOR AUTOREGRESSIVE MOVING AVERAGE MODEL部分非平稳向量自回归移动平均模型单位根的估计与检验
PREAI
分享收藏
查看更多内容