A Wald test of restrictions on the cointegrating space based on Johansen's estimator

Economics Letters

Volumn 59, Issue 2, 1998, Pages 183-187

  Davidson, James ^a  

^a CARDIFF UNIVERSITY   (United Kingdom)

Author keywords

C32; Cointegration; Irreducible cointegrating vector; Johansen; Vector error correction; Wald test

Indexed keywords

EID: 0032219497     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1765(98)00042-1     Document Type: Article

References (7)

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2. Davidson, J., 1997. Structural relations, cointegration and identification: Some simple results and their application. Journal of Econometrics (forthcoming).
3. Johansen S. Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control. 12:1988;231-254.
4. Johansen S. Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models. Econometrica. 59(6):1991;1551-1580.
5. Johansen S., Juselius K. Maximum likelihood estimation and inference on cointegration, with applications to the demand for money. Oxford Bulletin of Economics and Statistics. 52:1990;169-210.
6. Magnus, J.R., Neudecker, H., 1988. Matrix Differential Calculus with Applications in Statistics and Econometrics. Wiley, Chichester.
7. Pesaran, M.H., Shin, Y., 1994. Long-run structural modelling. Working Paper, Department of Applied Economics, University of Cambridge (September).