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A Cointegration Test Based on Weighted Symmetric Estimator
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 Title & Authors
A Cointegration Test Based on Weighted Symmetric Estimator
Son Bu-Il; Shin Key-Il;
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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).
Unit Root Test;Unconditional MLE;Vector Autoregressive Model;
 Cited by
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Fuller, W. A. (1996). Introduction to statistical time series, New York, Wiley

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Pantula, S. G., Gonzales-Farias, G., and Fuller, W. A. (1994). A comparison of unit root criteria, Journal of Business and Economic Statistics, Vol. 13, 449-459

Phillips, P. C. B., and Durlauf, S. N. (1986), Multiple time series regression with integrated process, Review of Economic Studies, Vol. 53, 473-495 crossref(new window)

Shin, K-I. (2002), An alternative unit root test statistic based on least squares estimator, The Korean Communications in Statistics Vol. 9, No.3, 639-647 crossref(new window)

Shin, K-I. (2004). A multivariate unit root test based on the modified weighted symmetric estimator for VAR(p), Journal of Applied Statistics, Vol. 31, No.5, 587-596 crossref(new window)