Testing for a Unit Root Nonstationarity in Multivariate Autoregressive Time Series
多元自回归时间序列的单位根非平稳性检验
The characteristic equation of a multiple autoregressive time series involves the eigenvalues of a matrix equation which determine if the series is stationary. Suppose one eigenvalue is 1 and the rest are less than 1 in magnitude. We show that ordinary least squares may be used to estimate the matrices involved and that the largest estimated eigenvalue has distributional properties that allow us to test this unit root hypothesis using critical values tabulated by Dickey…