Testing for Multicointegration

Working Paper No. 1997-1

14 Pages Posted: 25 Feb 1997

See all articles by Tom Engsted

Tom Engsted

University of Aarhus - CREATES

Jesús Gonzalo

Universidad Carlos III de Madrid - Department of Statistics and Econometrics; Aarhus University - Department of Economics and Business Economics

Niels Haldrup

Aarhus University, School of Economics and Management; CREATES

Abstract

We suggest how to redefine the multicointegration model of Granger and Lee (1990) in terms of an I(2) system and subsequently propose a one-step procedure for estimation and inference which will have favourable statistical properties compared to the two-step procedure suggested by Granger and Lee. With respect to the single equation residual based cointegration procedure for I(2) systems we tabulate new critical values that are necessary to accomodate the presence of deterministic components.

JEL Classification: C12, C22, C32

Suggested Citation

Engsted, Tom and Gonzalo Muñoz, Jesús and Haldrup, Niels, Testing for Multicointegration. Working Paper No. 1997-1 , Available at SSRN: https://ssrn.com/abstract=50202 or http://dx.doi.org/10.2139/ssrn.50202

Tom Engsted (Contact Author)

University of Aarhus - CREATES ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

Jesús Gonzalo Muñoz

Universidad Carlos III de Madrid - Department of Statistics and Econometrics ( email )

c/ Madrid 126
Getafe (Madrid), 28903
Spain
34 + 91 624 9853 (Phone)
34 + 91 624 9849 (Fax)

Aarhus University - Department of Economics and Business Economics

Fuglesangs Allé 4
Aarhus V
Denmark

Niels Haldrup

Aarhus University, School of Economics and Management ( email )

Universitetsparken
Aarhus, DK 8000 C
Denmark
+45 8942 1133 (Phone)
+45-8613-6334 (Fax)

CREATES ( email )

School of Economics and Management
Aarhus University
Aarhus, DK 8000 C
Denmark
+4589421613 (Phone)

HOME PAGE: http://www.creates.au.dk/en

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