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Testing the Hypothesis on the Cointegrating Vector When Data May Have a Near Unit Root

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주제분류경제학

초록

This paper considers the size distortion problem when testing the hypothesis on the cointegrating vector. The test on the cointegrating vector tends to be erroneously rejected. We propose constructing a valid confidence interval by application of the Bonferroni’s inequality, and compare the performance to another alternative procedure.

Abstract

This paper considers the size distortion problem when testing the hypothesis on the cointegrating vector. The test on the cointegrating vector tends to be erroneously rejected. We propose constructing a valid confidence interval by application of the Bonferroni’s inequality, and compare the performance to another alternative procedure.

참고문헌 (29)

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