Autore
Paruolo, PaoloTitolo
Testing for common trends in conditional I(2) VAR modelsPeriodico
Università degli Studi dell'Insubria. Dipartimento di Economia. Quaderni di ricercaAnno:
2002 - Fascicolo:
28 - Pagina iniziale:
1 - Pagina finale:
38This paper presents cointegration tests in the integration indices (II) in cointegrated (CI) vector autoregressive processes (VAR). The statistical analysis is performed under the assumption that some variables are weakly exogenous with respect to the (multi-)cointegration parameters, a condition that
corresponds to no integral and proportional feedback in the marginal system (NF). The specification of the deterministic components is chosen so as to allow for a linear trend in all possible directions. The asymptotic distribution is derived both under correct specification of the weak exogeneity assumptions and under mis-specification. Tables of limit distributions are obtained by simulation. It is found that some types of mis-specification modify the
asymptotic distributions of the tests considerably. However, the asymptotics
are unaffected by misspecification provided the adjustment coefficients in the conditional system are of full rank.
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