Søren Johansen
- Published in print:
- 1995
- Published Online:
- November 2003
- ISBN:
- 9780198774501
- eISBN:
- 9780191596476
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198774508.003.0013
- Subject:
- Economics and Finance, Econometrics
The asymptotic properties of the estimators for adjustment coefficients and cointegrating relations are derived under the assumption that they have been estimated unrestrictedly. We show that the ...
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The asymptotic properties of the estimators for adjustment coefficients and cointegrating relations are derived under the assumption that they have been estimated unrestrictedly. We show that the asymptotic distribution of the estimator for the cointegrating relations is mixed Gaussian, and also give the distribution under identifying restrictions.Less
The asymptotic properties of the estimators for adjustment coefficients and cointegrating relations are derived under the assumption that they have been estimated unrestrictedly. We show that the asymptotic distribution of the estimator for the cointegrating relations is mixed Gaussian, and also give the distribution under identifying restrictions.
Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry
- Published in print:
- 1993
- Published Online:
- November 2003
- ISBN:
- 9780198288107
- eISBN:
- 9780191595899
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198288107.003.0004
- Subject:
- Economics and Finance, Econometrics
Methods of testing for a unit root in an observed series are described in this chapter. Both parametric regression tests and non‐parametric adjustments to these test statistics are considered, and ...
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Methods of testing for a unit root in an observed series are described in this chapter. Both parametric regression tests and non‐parametric adjustments to these test statistics are considered, and tables of critical values for commonly used tests are given. The chapter also uses functionals of Wiener processes to describe the asymptotic distributions of important test statistics.Less
Methods of testing for a unit root in an observed series are described in this chapter. Both parametric regression tests and non‐parametric adjustments to these test statistics are considered, and tables of critical values for commonly used tests are given. The chapter also uses functionals of Wiener processes to describe the asymptotic distributions of important test statistics.
Søren Johansen
- Published in print:
- 1995
- Published Online:
- November 2003
- ISBN:
- 9780198774501
- eISBN:
- 9780191596476
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198774508.003.0011
- Subject:
- Economics and Finance, Econometrics
The asymptotic distribution of the likelihood ratio test for cointegrating rank is given. The limit distribution depends on the model for the deterministic terms, and we give the different formulae ...
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The asymptotic distribution of the likelihood ratio test for cointegrating rank is given. The limit distribution depends on the model for the deterministic terms, and we give the different formulae that can be obtained for a constant and a linear term in the equation under various restrictions. The limit distribution is a multivariate version of the Dickey–Fuller test, which is tabulated by simulation.Less
The asymptotic distribution of the likelihood ratio test for cointegrating rank is given. The limit distribution depends on the model for the deterministic terms, and we give the different formulae that can be obtained for a constant and a linear term in the equation under various restrictions. The limit distribution is a multivariate version of the Dickey–Fuller test, which is tabulated by simulation.
David F. Hendry
- Published in print:
- 1995
- Published Online:
- November 2003
- ISBN:
- 9780198283164
- eISBN:
- 9780191596384
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198283164.003.0003
- Subject:
- Economics and Finance, Econometrics
Least squares and recursive methods for estimating the values of unknown parameters and the logic of testing in empirical modelling, are discussed. The tools needed for investigating the properties ...
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Least squares and recursive methods for estimating the values of unknown parameters and the logic of testing in empirical modelling, are discussed. The tools needed for investigating the properties of statistics in economics, namely, large‐sample distribution theory and Monte Carlo simulation techniques, are described. Ergodicity is explained, as are tools for investigating non‐stationarity due to unit roots.Less
Least squares and recursive methods for estimating the values of unknown parameters and the logic of testing in empirical modelling, are discussed. The tools needed for investigating the properties of statistics in economics, namely, large‐sample distribution theory and Monte Carlo simulation techniques, are described. Ergodicity is explained, as are tools for investigating non‐stationarity due to unit roots.
