Testing for Common Roots

Christian Gourieroux, Alain Monfort and Eric Renault

Econometrica, 1989, vol. 57, issue 1, 171-85

Abstract: In this paper, the authors propose a simple procedure for testing the existence of common roots in lag polynomials. They first show, by using a generalized Bezout property, that this hypothesis can be put under a "mixed" form that is linear with respect to the auxiliary parameters and with respect to the initial parameters. It follows that the test procedures can be implemented only by using regressions packages. Copyright 1989 by The Econometric Society.

Date: 1989
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