A Multivariate Unit Root Test Based on the Modified Weighted Symmetric Estimator for VAR(p)

Key-Il Shin

Journal of Applied Statistics, 2004, vol. 31, issue 5, 587-596

Abstract: Multivariate unit root tests for the VAR model have been commonly used in time series analysis. Several unit root tests were developed. Most of the estimators of coefficient matrices developed in the VAR model are obtained using ordinary least squares estimators. In this paper, we suggest a multivariate unit root test based on a modified weighted symmetric estimator. Using a limited Monte Carlo simulation, we compare the powers of the new test statistic and the test statistic suggested in Fuller (1996).

Keywords: Vector Autoregressive Process; Cointegration (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (2)

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DOI: 10.1080/02664760410001681774

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