On cointegration tests for VAR models with drift

被引：3
|
作者：
Yang, MX
Bewley, R
机构：
[1] School of Economics, University of New South Wales, Sydney
来源：
ECONOMICS LETTERS | 1996年 / 51卷 / 01期
基金：
澳大利亚研究理事会;
关键词：
error-correction models; time trend; asymptotic distributions;
D O I：
10.1016/0165-1765(95)00783-0
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Following Bewley and Yang (Journal of the American Statistical Association, 1995, 90, 990-996), this paper considers cointegration tests that are based on the canonical correlation analysis (CCA) of Box and Tiao (Biometrika, 1977, 64, 355-365), for VAR models with drift. The critical values of the test statistics are shown to depend on the presence of drift. In addition, it is shown that the maximum eigenvalue from the CCA may be used as an indicator for the presence of drift. Tables of critical values are also presented.
引用
收藏
页码：45 / 50
页数：6
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