多个协整向量存在性的一步检验

M. Asali
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引用次数: 0

摘要

基于johnson的协整检验方法,我们提供临界值来检验一阶整变量之间协整的存在性和秩。在这个单步过程中,协整秩等于测试统计量小于各自建议的临界值的实例数。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A One-Step Test for the Presence of Multiple Cointegrating Vectors
Based on the Johansen's approach for cointegration tests, we offer critical values to test for the existence and rank of cointegration between first-order integrated variables. In this single-step procedure, the cointegrating rank is equal to the number of instances in which the test statistics are less than the respective proposed critical values.
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