Testing for Multicointegration

Tom Engsted (), Jesus Gonzalo () and Niels Haldrup ()

No 1997-1, Economics Working Papers from School of Economics and Management, University of Aarhus

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.

Keywords: Cointegration; multicointegration; I(2) processes (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 (search for similar items in EconPapers)
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