A test of cointegration rank based on principal component analysis

被引：4
|
作者：
Chigira, Hiroaki [1 ]
机构：
[1] Hitotsubashi Univ, Dept Econ, Tokyo 1868601, Japan
来源：
APPLIED ECONOMICS LETTERS | 2008年 / 15卷 / 09期
关键词：
D O I：
10.1080/13504850600722096
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Using principal component methods, we construct a cointegration rank test that is less restrictive than Johansen's tests, easy to calculate, and independent of the dimension of the process. Monte Carlo simulations indicate that the proposed test outperforms Johansen's tests.
引用
收藏
页码：693 / 696
页数：4
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