The Wald-Type Test of a Normalization of Cointegrating Vectors

抄録

This paper proposes a test for the normalization of cointegrating vectors. Our test is constructed using the unrestricted maximum likelihood estimator and then it may be seen as a Wald-type test. The test statistic is shown to be asymptotically bounded above by a chi-square distribution with one degree of freedom (χ₁²) and then we can conduct a conservative test using critical values of χ₁².