[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.5351/CKSS.2005.12.3.797

A Cointegration Test Based on Weighted Symmetric Estimator

Son Bu-Il (Department of Statistics, Hankuk University of Foreign Studies)
Shin Key-Il (Department of Statistics, Hankuk University of Foreign Studies)

Publication Information

Communications for Statistical Applications and Methods / v.12, no.3, 2005 , pp. 797-805 More about this Journal

Abstract

Multivariate unit root tests for the VAR(p) model have been commonly used in time series analysis. Several unit root tests were developed and recently Shin(2004) suggested a cointegration test based on weighted symmetric estimator. In this paper, we suggest a multivariate unit root test statistic based on the weighted symmetric estimator. Using a small simulation study, we compare the powers of the new test statistic with the statistics suggested in Shin(2004) and Fuller(1996).

Keywords

Unit Root Test; Unconditional MLE; Vector Autoregressive Model;

Citations & Related Records

Times Cited By KSCI : 1 (Citation Analysis)

Reference
Cited By KSCI

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