Test Adjustment Speeds

Tests onAanswer questions about common driving forces in the system. When constructing constraints, interpret the rows and columns of then-by-rmatrixAas follows:

For example, an all-zero row inAindicates a variable that is weakly exogenous with respect to the coefficients inB. Such a variable may affect other variables, but does not adjust to disequilibrium in the cointegrating relations. Similarly, a standard unit vector column inAindicates a variable that is exclusively adjusting to disequilibrium in a particular cointegrating relation.

To demonstrate, we test for weak exogeneity of the inflation rate with respect to interest rates:

loadData_CanadaY =数据(:,3:结束);%的利率数据y1 = Data(:,1);% CPI-based inflation rateYI = [y1,Y]; [hA,pValueA] = jcontest(YI,1,'ACon',[1 0 0 0]')

hA =logical0

pValueA = 0.3206

The test fails to reject the null hypothesis. Again, the test is conducted with default settings. Proper economic inference would require a more careful analysis of model and rank specifications.

Constrained parameter estimates are accessed via a fifth output argument fromjcontest. For example, the constrained, rank 1 estimate ofAis obtained by referencing the fifth output with dot (.) indexing:

[~,~,~,~,mles] = jcontest(YI,1,'ACon',[1 0 0 0]'); Acon = mles.paramVals.A

Acon =4×10 0.1423 0.0865 0.2862

The first row ofAis 0, as specified by the constraint.

See Also

jcontest|jcitest

Related Examples

• Test Cointegrating Vectors

More About

• Testing Cointegrating Vectors and Adjustment Speeds
• Cointegration and Error Correction Analysis