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Tests for Cointegration and the Initial Conditions

In stead of assuming the starting observations as zero, the
cointegration test statistic derived in this paper takes the
initial conditions into consideration. The statistic helps us
understand how the initial conditions affect the test and helps us
recognize whether the cointegration relationship exists in the
data generation process or not. Beside, with this statistic
derived with the concept of discriminant function and residual
based test, we can simulate our own critical value table in
according to what starting observations we have in hand, what
significant level we want and what value of rho we meet under
H_1.

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0625107-195839
Date25 June 2007
CreatorsHung, Da-Wei
ContributorsMing-Jang Weng, Ching-Nun Lee, Chun-Chieh Wang
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageEnglish
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0625107-195839
Rightswithheld, Copyright information available at source archive

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