Testing cointegrating coefficients in vector autoregressive error correction models

Gerd Hansen; Jeong-Ryeol Kim; Stefan Mittnik

doi:10.1016/s0165-1765(97)00199-7

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Testing cointegrating coefficients in vector autoregressive error correction models

Gerd Hansen Jeong-Ryeol Kim Stefan Mittnik

Year: 1998 Journal: Economics Letters Vol: 58 (1)Pages: 1-5 Publisher: Elsevier BV

DOI: 10.1016/s0165-1765(97)00199-7

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Keywords:

Autoregressive model Cauchy distribution Estimator Mathematics Applied mathematics Statistics Econometrics Null (SQL) Null hypothesis STAR model Autoregressive integrated moving average Computer science Time series

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Testing cointegrating coefficients in vector autoregressive error correction models

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