The Wald-Type Test of a Normalization of Cointegrating Vectors

DOI10.14490/JJSS.37.191MaRDI QIDQ3542425zbMATH OpenOpenAlexFDO

Authors Eiji Kurozumi

Publication date 1 December 2008

Published in JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL https://www.jstage.jst.go.jp/article/jjss/37/2/37_2_191/_pdf

zbMATH Keywords

identificationcointegrationvector autoregressionnormalization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
• Making wald tests work for cointegrated VAR systems
• A Wald test of restrictions on the cointegrating space based on Johansen's estimator
• Statistical analysis of cointegration vectors
• Testing for \(r\) versus \(r-1\) cointegrating vectors

Cited in

(1)

• TESTING LINEAR RESTRICTIONS ON COINTEGRATING VECTORS: SIZES AND POWERS OF WALD AND LIKELIHOOD RATIO TESTS IN FINITE SAMPLES

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