Autore
Archontakis, Fragiskos

Titolo
Testing the order of integration in a VAR model for I(2) variables.
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 2001 - Fascicolo: 12 - Pagina iniziale: 1 - Pagina finale: 25

We propose a test for the order of integration of the univariate components of a vector process integrated of order two, i.e. an 1(2) process, generated by a vector autoregressive (VAR) model. The null hypothesis of the test is that the particular univariate time series is an 1(1) process. The hypotheses are formulated as linear restrictions on the directions orthogonal to the 1(1) cointegration space. The statistic considered is the Wald test, which asymptotically follows a chi-squared distribution, such that standard inference can be applied. The theoretical results are illustrated by a Monte Carlo experiment.



Testo completo: http://www.iue.it/PUB/ECO2001-12.pdf

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