THE RANK OF A SUBMATRIX OF COINTEGRATION
THE RANK OF A SUBMATRIX OF COINTEGRATION
复制标题
协整子矩阵的秩
DOI：
10.1017/s0266466605050188
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发表时间：
2003
影响因子：
0.8
通讯作者：
Eiji Kurozumi
中科院分区：
文献类型：
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作者：
Eiji Kurozumi
本文给出了β的子矩阵秩的一个检验方法，其中β是一个协整矩阵.此外，还研究了β的正交补β的子矩阵.我们利用子矩阵二次型的特征值构造检验统计量。我们发现，检验统计量有一个有限的卡方分布时，数据是非趋势，而趋势数据，我们必须考虑一个保守的测试或其他测试程序，需要预先测试的矩阵结构。有限样本模拟表明，虽然模拟设置是有限的，所提出的测试工作良好的非趋势数据，而我们必须小心使用趋势数据的测试，因为它可能会变得过于保守，在某些情况下。我欠特别感谢两位匿名的裁判，共同编辑，皮埃尔Perron，和Taku Yamamoto。所有的错误都是我的责任。本研究得到了文部科学省的13730023和14203003补助金的支持。
This paper proposes a test of the rank of the submatrix of β, where β is a cointegrating matrix. In addition, the submatrix of β⊥, an orthogonal complement to β, is investigated. We construct the test statistic by using the eigenvalues of the quadratic form of the submatrix. We show that the test statistic has a limiting chi-square distribution when data are nontrending, whereas for trending data we have to consider a conservative test or other testing procedure that requires the pretest of the structure of the matrix. Finite sample simulations show that, although the simulation settings are limited, the proposed test works well for nontrending data, whereas we have to carefully use the test for trending data because it may become too conservative in some cases.I owe special thanks to two anonymous referees, the co-editor, Pierre Perron, and Taku Yamamoto. All errors are my responsibility. This research was supported by the Ministry of Education, Culture, Sports, Science and Technology under grants-in-aid 13730023 and 14203003.