Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A Multiple Unit Roots Test Based on Least Squares Estimator

  • Shin, Key-Il (Department of Statistics, Hankuk University of Foreign Studies)
  • Published : 1999.03.01
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Abstract

Knowing the number of unit roots is important in the analysis of k-dimensional multivariate autoregressive process. In this paper we suggest simple multiple unit roots test statistics based on least squares estimator for the multivariate AR(1) process in which some eigenvalues are one and the rest are less than one in magnitude. The empirical distributions are tabulated for suggested test statistics. We have small Monte-Calro studies to compare the powers of the test statistics suggested by Johansen(1988) and in this paper.

Keywords

References

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