论文检索

含高阶单整变量的联立协整方程系统识别条件AI 解读

This paper discusses identification of systems of simultaneous cointegrating equations with integrated variables of order two or higher, under constraints on the cointegration parameters. Rank and order conditions for identification are provided for general linear constraints, covering both cross-equation and equation-by-equation restrictions.

摘要暂缺

含平稳回归变量的VAR模型协整秩推断AI 解读

The issue of including stationary explanatory variables is addressed in the vector autoregressive (VAR) model, when testing for cointegration rank. It is shown that simply in-cluding stationary explanatory variables as extra regressors will lead to nuisance parameters in the asymptotic distribution of the trace statistic for cointegration rank. The nuisance parame-ters are characterized as canonical correlations between the common trends (which in this case also involve the…