Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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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)
  • Published : 2005.12.01
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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).

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References

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