Cointegration

Tests for cointegration assume that the cointegrating vector is constant during the period of study. In reality, it is possible that the long-run relationship ...

A test of cointegration is a test of whether ˆt u is stationary. This is determined by. ADF tests on the residuals, with the MacKinnon (1991) critical values ...

2020年1月28日 — The Engle-Granger cointegration test considers the case that there is a single cointegrating vector. The test follows the very simple intuition ...

Steps in cointegration test procedure: 1. Test H0(unit root) in each component series Yit individually, using the univariate unit root tests, say ADF, PP tests.

Then, a Dickey-Fuller test is used for testing the hypothesis that zt z t is a nonstationary series. This is known as the Engle-Granger Augmented Dickey-Fuller ...

由 JM when Variables 著作 · 被引用 290 次 — Even rarer are tests of whether the only cointegrating vector is due to the stationarity of some other variable in the system, despite the fact that the ...

Cointegration analysis tests whether variables that have stochastic trends – their trend is a random walk – share a common trend. If so, then at least one ...

由 BE Sørensen 著作 · 2019 · 被引用 25 次 — tests test the Null of no cointegration. Unfortunately the limiting ... This test is a test of r + 1 cointegrating vectors against r cointegrating vectors.