Testing cointegrating coefficients in vector autoregressive error correction models

Economics Letters

Volumn 58, Issue 1, 1998, Pages 1-5

  Hansen, Gerd ^a   Kim, Jeong Ryeol ^a   Mittnik, Stefan ^a  

^a UNIVERSITY OF KIEL   (Germany)

Author keywords

C12; C22; C32; Cauchy distribution; Chi square test; Cointegration; Error correction model; Granger causality

Indexed keywords

EID: 0032219584     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1765(97)00199-7     Document Type: Article

References (13)

1. Ahn S.K., Reinsel G.C. Estimation for partially nonstationary multivariate autoregressive models. Journal of the American Statistical Association. 85:1990;813-823.
2. Dolado J.J. A note on weak exogeneity in VAR cointegrated models. Economics Letters. 38:1992;139-143.
3. Engle R.F., Granger C.W.J. Cointegration and error correction: Representation, estimation and testing. Econometrica. 55:1987;251-276.
4. Granger C.W.J. Investigating causal relations by econometric models and cross spectral methods. Econometrica. 37:1969;424-438.
5. Hansen, G., Kim, J.-R., 1996. The reliability of the Johansen-procedure. Discussion Paper 91/1996, Institute of Statistics and Econometrics, Christian Albrechts University at Kiel, Germany.
6. Johansen S. Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control. 12:1988;231-254.
7. Johansen S., Juselius K. Identification of the long-run and short-run structure: An application to the ISLM model. Journal of Econometrics. 63:1994;7-36.
8. Mittnik, S., Kim, J.-R., Rachev, S.T., 1996. Chi-square-type distributions for heavy-tailed variates. Discussion Paper 94/1996, Institute of Statistics and Econometrics, Christian Albrechts University at Kiel, Germany.
9. Phillips P.C.B. Optimal inference in cointegrated system. Econometrica. 59:1991;283-306.
10. Phillips P.C.B. Some exact distribution theory for maximum likelihood estimators of cointegrating coefficients in error correction models. Econometrica. 62:1994;73-93.
11. Saikkonen P. Asymptotically efficient estimation of cointegration regression. Econometric Theory. 7:1991;1-21.
12. Sims C.A. Macroeconomics and reality. Econometrica. 48:1980;1-48.
13. Toda H., Phillips P.C.B. Vector autoregressions and causality: A theoretical overview and simulation study. Econometric Reviews. 13:1994;259-285.