BibTeX
@MISC{Kurozumi_thewald-type,
author = {Eiji Kurozumi},
title = {THE WALD-TYPE TEST OF A NORMALIZATION OF COINTEGRATING VECTORS},
year = {}
}
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Abstract
This paper proposes a test for the normalization of cointegrating vectors. Our test is constructed using the unrestricted maximum likelihood estimator and then it may be seen as a Wald-type test. The test statistic is shown to be asymptotically bounded above by a chi-square distribution with one degree of freedom (χ21) and then we can conduct a conservative test using critical values of χ21. Key words and phrases: Cointegration, identification, normalization, vector autore-gression.
