학술논문
Heteroscedasticity Consistent Inference on the Cointegration Rank in Vector Error Correction Models
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- 영문명
- Heteroscedasticity Consistent Inference on the Cointegration Rank in Vector Error Correction Models
- 발행기관
- 한국계량경제학회
- 저자명
- Byeongseon Seo
- 간행물 정보
- 『한국계량경제학회 학술대회 논문집』2009년 하계학술대회, 1~29쪽, 전체 29쪽
- 주제분류
- 경제경영 > 경제학
- 파일형태
- 발행일자
- 2009.08.30
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국문 초록
영문 초록
This paper considers statistical inference on the cointegration rank in vector error correction models, which is robust to heteroscedastic errors. As the likelihood ratio (LR) statistic assumes identically distributed errors, we develop the Lagrange multiplier (LM) and Wald statistics for the cointegration rank using the heteroscedasticity robust covariance estimator.
The asymptotic distributions of the LM and Wald statistics follow the nonstandard distribution, which has been found by Johansen (1991). Simulation evidence indicates that the proposed tests improve the performance of the cointegration rank test.
목차
1 Introduction
2 The Test Statistics
3 Main Results
4 Models with Deterministic Trends
5 Simulation Evidence
6 Economic Application
7 Concluding Remarks
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