Generalized VECM formulation and cointegrating rank determination by Johansen method

• Odaki Mitsuhiro

書誌事項

タイトル別名

• Generalized VECM formulation and cointegrating rank determination by Johansen method <Articles>

抄録

This paper discusses the issues on what representation can be formulated based on vector autoregressions and how the cointegrating rank can be determined by the well-known Johansen method when the valid derivation of the conventional VECM is not possible. A generalized VECM representation is derived in connection with the cointegrating rank and determining the cointegrating rank by using the Johansen method is proposed under this representation. It is shown that the asymptotics and the procedure used for the rank determination under the conventional VECM are essentially applicable to the present situation.

収録刊行物

• 廣島大學經濟論叢

  廣島大學經濟論叢 35 (1), 53-70, 2011-07-20

  広島大学経済学会

キーワード

• VECM
• cointegrating rank
• Johansen method
• GRT

詳細情報

• CRID: 1390009224855467136
• NII論文ID: 40018933879
• NII書誌ID: AN00213519
• DOI: 10.15027/31587
• NDL書誌ID: 11189363
• ISSN: 03862704
• Web Site: http://ir.lib.hiroshima-u.ac.jp/00031587
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I11189363
• 本文言語コード: en
• データソース種別:
  • JaLC
  • IRDB
  • NDL
  • CiNii Articles
• 抄録ライセンスフラグ: 使用可