Multivariate unit root tests

Renato Flôres, Pierre-Yves Preumont and Ariane Szafarz

No 95-001.RS, Working Papers CEB from ULB -- Universite Libre de Bruxelles

Abstract: This paper presents a new multivariate test for the detection of unit roots. Use is made of the possible correlations between the disturbances of different series, and constrained and unconstrained SURE estimators are employed. The corresponding asymptotic distributions are obtained and a table with a few critical values, for the case of two series, is generated. Some simulations indicate that the procedure performs better than the existing alternatives.

Keywords: unit root; multivariate test; stationarity; panel data (search for similar items in EconPapers)
JEL-codes: C12 C30 C32 C33 C52 (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (6)

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