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.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0625107-195839 |
| Date | 25 June 2007 |
| Creators | Hung, Da-Wei |
| Contributors | Ming-Jang Weng, Ching-Nun Lee, Chun-Chieh Wang |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0625107-195839 |
| Rights | withheld, Copyright information available at source archive |
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