Testing for r versus r−1 cointegrating vectors
Testing for r versus r−1 cointegrating vectors
复制标题
测试 r 与 r−1 协整向量
DOI：
10.1016/s0304-4076(98)00029-3
复制
发表时间：
1999
影响因子：
6.3
通讯作者：
Andy Snell
中科院分区：
文献类型：
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作者：
Andy Snell
r与r−1协整向量的参数检验。该测试利用了这样一个事实，即在n个I（1）变量的系统中，第r个主成分在零下是I（0），但在替代方案下是I（1）。该统计量是参数化的，使用应用于主成分的简单回归方法构建，遵循标准χ 2分布，并且不需要对协整向量进行归一化限制。Monte Carlo研究表明，通过嵌套显著性检验选择预白化过程中的滞后长度，该检验在小样本下具有良好的大小和功效特性。
A parametric test for r versus r−1 cointegrating vectors is developed. The test exploits the fact that in a system of n I(1) variates the rth principal component is I(0) under the null but I(1) under the alternative. The statistic is parametric, is constructed using simple regression methods applied to principal components, follows a standard χ2distribution and does not require normalisation restrictions on the cointegrating vectors. A Monte Carlo investigation indicates that providing the lag length in the pre-whitening procedure is chosen by means of nested significance tests, the test has good size and power properties in small samples.