Travail de recherche/Working paper
| Résumé : | This paper presents a new multivariate test for the detection of unit roots. Use is made of the possible correlations between the disturbances of different series, and constrained and unconstrained SURE estimators are employed. The corresponding asymptotic distributions are obtained and a table with a few critical values, for the case of two series, is generated. Some simulations indicate that the procedure performs better than the existing alternatives. |
