THE WALD-TYPE TEST OF A NORMALIZATION OF COINTEGRATING VECTORS
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概要
- 論文の詳細を見る
This paper proposes a test for the normalization of cointegrating vectors. Our test is constructed using the unrestricted maximum likelihood estimator and then it may be seen as a Wald-type test. The test statistic is shown to be asymptotically bounded above by a chi-square distribution with one degree of freedom (X^2_1) and then we can conduct a conservative test using critical values of X^2_1
- 一般社団法人日本統計学会の論文
著者
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黒住 英司
Graduate School Of Economics Hitotsubashi University
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Kurozumi Eiji
Department Of Economics Hitotsubashi University
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