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An Outline of Cointegration Analysis Based on an ADL-ECM Model
Автор: Morten Nyboe Tabor
Загружено: 2015-11-17
Просмотров: 5804
Описание:
We outline a cointegration analysis based on the ADL-ECM model.
We first consider the link between an ADL(2,2) model and the ECM representation. Second, we consider how to derive the cointegration parameters in terms of the parameters of the ADL or the ECM model. Finally, we sketch the PcGive test for no-cointegration, which is a test of the null hypothesis of no error-correction corresponding to no-cointegration.
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