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...
| Главный автор: | |
|---|---|
| Формат: | Working paper |
| Опубликовано: |
University of Oxford
2013
|