TESTING FOR MULTICOINTEGRATION

Authors
ENGSTED T GONZALO J HALDRUP N
Citation
T. Engsted et al., TESTING FOR MULTICOINTEGRATION, Economics letters, 56(3), 1997, pp. 259-266
Citations number
11
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
56
Issue
3
Year of publication
1997
Pages
259 - 266
Database
ISI
SICI code
0165-1765(1997)56:3<259:TFM>2.0.ZU;2-6
Abstract
We suggest how to redefine the multicointegration model of Granger and Lee (1990) in terms of an I(2) system and subsequently propose a one- step procedure for estimation and inference which will have favourable statistical properties compared to the two-step procedure suggested b y Granger and Lee. With respect to the single equation residual based cointegration procedure for I(2) systems we tabulate new critical valu es that are necessary to accommodate the presence of deterministic com ponents. (C) 1997 Elsevier Science S.A.