Title page for etd-0625107-195839


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URN etd-0625107-195839
Author Da-Wei Hung
Author's Email Address No Public.
Statistics This thesis had been viewed 5347 times. Download 1422 times.
Department Economics
Year 2006
Semester 2
Degree Master
Type of Document
Language English
Title Tests for Cointegration and the Initial Conditions
Date of Defense 2007-06-22
Page Count 32
Keyword
  • initial conditions
  • cointegration
  • discriminant function
  • residual based test
  • Abstract In stead of assuming the starting observations as zero, the
    cointegration test statistic derived in this paper takes the
    initial conditions into consideration. The statistic helps us
    understand how the initial conditions affect the test and helps us
    recognize whether the cointegration relationship exists in the
    data generation process or not. Beside, with this statistic
    derived with the concept of discriminant function and residual
    based test, we can simulate our own critical value table in
    according to what starting observations we have in hand, what
    significant level we want and what value of rho we meet under
    H_1.
    Advisory Committee
  • Ming-Jang Weng - chair
  • Chun-Chieh Wang - co-chair
  • Ching-Nun Lee - advisor
  • Files
  • etd-0625107-195839.pdf
  • indicate accessible in a year
    Date of Submission 2007-06-25

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