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...
Hovedforfatter: | |
---|---|
Format: | Working paper |
Udgivet: |
University of Oxford
2013
|