Stability tests in error correction models
作者： Carmela E. Quintos
DOI: 10.1016/S0304-4076(97)00059-6
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摘要: This paper derives the asymptotic distribution of the fluctuations test of Ploberger-Kramer-Kontrus (1989) in a reduced rank error correction model with nonstationary variables. We show how the fluctuations test is constructed in this case where the coefficient matrix being tested is singular. The test converges to a sum of tied-down Bessel processes whose critical values are tabulated in Andrews (1993). We also show how the fluctuations test is affected by misspecification of the rank (ie, by misspecification of the number of stationary …
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