Title of article
Testing for multicointegration
Author/Authors
Tom Engsted، نويسنده , , Jesus Gonzalo، نويسنده , , Niels Haldrup، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1997
Pages
8
From page
259
To page
266
Abstract
We suggest how to redefine the multicointegration model of Granger and Lee (1990) in terms of an I(2) system and subsequently propose a one-step procedure for estimation and inference which will have favourable statistical properties compared to the two-step procedure suggested by Granger and Lee. With respect to the single equation residual based cointegration procedure for I(2) systems we tabulate new critical values that are necessary to accommodate the presence of deterministic components.
Keywords
Cointegration , 1(2) processes , Muiticointegration
Journal title
Economics Letters
Serial Year
1997
Journal title
Economics Letters
Record number
434397
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