Consider the Testing of Hypotheses Concerning the Cointegrating Vector(s) Under

question 11

Multiple Choice

Consider the testing of hypotheses concerning the cointegrating vector(s) under the Johansen approach. Which of the following statements is correct?

• A) If the restriction is (are) rejected, the number of cointegrating vectors will rise
• B) If the restriction(s) is (are) rejected, the number of eigenvalues will fall
• C) Whether the restriction is supported by the data or not, the eigenvalues are likely to change at least slightly upon imposing the restriction(s)
• D) All linear combinations of the cointegrating vectors are themselves cointegrating vectors

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