A test for the null of multiple cointegrating vectors
This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the OLS estimator of the full set of n cointegrating relationships in the n + k system and the OLS estimator of the corresponding relationships among first differences without making sp...
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| Format: | Working paper |
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University of Oxford
2013
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| _version_ | 1797056212623163392 |
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| author | Fernandez-Macho, J |
| author_facet | Fernandez-Macho, J |
| author_sort | Fernandez-Macho, J |
| collection | OXFORD |
| description | This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the OLS estimator of the full set of n cointegrating relationships in the n + k system and the OLS estimator of the corresponding relationships among first differences without making specific assumptions about the short-run dynamics of the multivariate data generating process. It is shown that the proposed test statistics are asymptotically distributed as standard chi-square with n + k degrees of freedom and are not affected by the inclusion of deterministic terms or dynamic regressors, thus offering a simple way of testing for cointegration under the null without the need of special tables. Small sample critical values for these statistics are tabulated using Monte Carlo simulation and it is shown that these non residual-based tests exhibit appropriate size and good power even for quite general error dynamics. In fact, simulation results suggest that they perform quite reasonably when compared to other tests of the null of cointegration. |
| first_indexed | 2024-03-06T19:20:10Z |
| format | Working paper |
| id | oxford-uuid:19ce82e3-4ad7-421a-9aa7-21d25a7dc224 |
| institution | University of Oxford |
| last_indexed | 2024-03-06T19:20:10Z |
| publishDate | 2013 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:19ce82e3-4ad7-421a-9aa7-21d25a7dc2242022-03-26T10:51:02ZA test for the null of multiple cointegrating vectorsWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:19ce82e3-4ad7-421a-9aa7-21d25a7dc224Symplectic ElementsBulk import via SwordUniversity of Oxford2013Fernandez-Macho, JThis paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the OLS estimator of the full set of n cointegrating relationships in the n + k system and the OLS estimator of the corresponding relationships among first differences without making specific assumptions about the short-run dynamics of the multivariate data generating process. It is shown that the proposed test statistics are asymptotically distributed as standard chi-square with n + k degrees of freedom and are not affected by the inclusion of deterministic terms or dynamic regressors, thus offering a simple way of testing for cointegration under the null without the need of special tables. Small sample critical values for these statistics are tabulated using Monte Carlo simulation and it is shown that these non residual-based tests exhibit appropriate size and good power even for quite general error dynamics. In fact, simulation results suggest that they perform quite reasonably when compared to other tests of the null of cointegration. |
| spellingShingle | Fernandez-Macho, J A test for the null of multiple cointegrating vectors |
| title | A test for the null of multiple cointegrating vectors |
| title_full | A test for the null of multiple cointegrating vectors |
| title_fullStr | A test for the null of multiple cointegrating vectors |
| title_full_unstemmed | A test for the null of multiple cointegrating vectors |
| title_short | A test for the null of multiple cointegrating vectors |
| title_sort | test for the null of multiple cointegrating vectors |
| work_keys_str_mv | AT fernandezmachoj atestforthenullofmultiplecointegratingvectors AT fernandezmachoj testforthenullofmultiplecointegratingvectors |