{"title":"多个协整向量存在性的一步检验","authors":"M. Asali","doi":"10.2139/ssrn.2034253","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":191102,"journal":{"name":"ERN: Time-Series Models (Multiple) (Topic)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A One-Step Test for the Presence of Multiple Cointegrating Vectors\",\"authors\":\"M. Asali\",\"doi\":\"10.2139/ssrn.2034253\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":191102,\"journal\":{\"name\":\"ERN: Time-Series Models (Multiple) (Topic)\",\"volume\":\"44 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2012-04-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Time-Series Models (Multiple) (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2034253\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Time-Series Models (Multiple) (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2034253","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.