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조건부 이분산성에 강건한 장기균형검정

Conditional Heteroskedasticity-Robust Testing for Cointegration

서병선
한국계량경제학회|2010.12|계량경제학보 (Journal of Economic Theory and Econometrics)|제21권 제4호|pp. 20-46

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참고문헌

키워드

Volatility벡터자기회귀모형VARRobustnessCointegration강건성장기균형검정조건부 이분산성Wald 검정Conditional heteroskedasticity
주제분류경제학

초록

단위근을 갖는 비정상적 시계열로 구성된 벡터자기회귀모형에서 장기균형을 검정하기위한 Johansen의 우도비 검정방법은 교란항의 독립동일 정규분포를 가정하므로 시계열의 일반적특성인 조건부 이분산성을 고려하지 못한다. Johansen의 분포이론은 조건부 이분산성하에서도성립하지만 실제 응용에서는 이분산성의 지속성이 증가할수록 검정 결과에 영향을 미치기 때문에이론과 응용의 마찰이 발생한다. 본 연구는 조건부 이분산성을 허락하여 자료의 특성에 부합하는장기균형 검정방법을 탐구한다. 새로운 장기균형 검정 방법은 Wald 검정통계량에 기초하며 우도비검정통계량에서 고려하지 않은 이분산성을 허락하도록 한다. 새로운 검정통계량의 극한 분포는비표준 분포를 따름을 보였다. 몬테카를로 모의 시행에서 검정 통계량의 적합성을 측정한 결과,변동성의 지속성이 증가하여도 Wald 검정통계량은 강건함을 확인하였다.

Abstract

This paper considers conditional heteroskedasticity-robust testing for cointegration in nonstationary vector autoregressive models under conditional heteroskedasticity. The likelihood ratio (LR) cointegration tests of Johansen (1988, 1991) assume the Gaussian independent and identically distributed innovations, and hence the stylized facts of time-variant and persistent volatility may affect the performance of the tests. In this paper, we allow for conditionally heteroskedastic innovations and formulate the Wald test statistics. The asymptotic distribution of the Wald tests is shown to follow the nonstandard distribution. The simulation evidence regarding the performance of the proposed tests demonstrates robustness to persistent conditional volatility.

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