Testing for an unstable root in conditional and structural error correction models

DOI10.1016/0304-4076(93)01560-9zbMath0807.62088OpenAlexW2150560679MaRDI QIDQ1341204

H. Peter Boswijk

Publication date: 2 January 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)01560-9

zbMATH Keywords

identificationMonte Carlo simulationcritical valuescointegrationWald testssimultaneous equations modelsstructural formdemand for moneyrate of inflationconditional error correction modelsinstability hypothesissingle-equation modelsunstable rootvector Brownian motion process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites Work

• Unnamed Item
• Statistical analysis of cointegration vectors
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Cointegration in partial systems and the efficiency of single-equation analysis
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Asymptotic Properties of Residual Based Tests for Cointegration
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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