DURBIN-HAUSMAN TESTS FOR COINTEGRATION

被引：17

作者：

CHOI, I

机构：

[1] The Ohio State University, Columbus

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 1994年 / 18卷 / 02期

关键词：

COINTEGRATION; DURBIN-HAUSMAN TESTS; RESIDUAL-BASED TESTS;

D O I：

10.1016/0165-1889(94)90018-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We develop Durbin Hausman tests for cointegration which use regression residuals. The asymptotic distributions of the Durbin-Hausman tests are derived under the null and the rates of divergence under the alternative are obtained. The asymptotic distributions are tabulated by simulation. We also show by simulation that the Durbin-Hausman tests are more powerful in finite samples than the other existing residual-based tests for cointegration.

引用

页码：467 / 480

页数：14

共 21 条

[1]

ANDREWS DWK, 1989, ECONOMETRICA, V58, P817

[2] LIMITING DISTRIBUTIONS OF LEAST-SQUARES ESTIMATES OF UNSTABLE AUTOREGRESSIVE PROCESSES [J].