Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes
向量自回归过程中协整向量有效归一化的检验
This article develops test procedures for checking the validity of general normalizing restrictions imposed on cointegrating vectors in vector autoregressive processes. Such test procedures are of importance because normalizing restrictions, possibly combined with overidentifying restrictions, are often necessary for a proper interpretation of cointegrating vectors. The null hypothesis of the authors' tests assumes that the employed normalization is valid or, alternatively,…