LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS

DOI10.1017/S026646669915103XMaRDI QIDQ4700853zbMATH OpenOpenAlexFDO

Authors Pentti Saikkonen, Helmut Lütkepohl

Publication date 19 December 1999

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s026646669915103x

zbMATH Keywords

local powervector autoregressive process

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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(18)

• A lag augmentation test for the cointegrating rank of a VAR process
• Recursive adjustment for general deterministic components and improved cointegration rank tests
• Comparison of tests for the cointegrating rank of a VAR process with a structural shift
• Testing for the cointegrating rank of a VAR process with a time trend
• The power of bootstrap tests of cointegration rank
• Local power of likelihood-based tests for cointegrating rank: comparative analysis of full and partial systems
• Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
• Tests against stationary and explosive alternatives in vector autoregressive models
• Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
• Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
• Improved likelihood ratio tests for cointegration rank in the VAR model
• Johansen cointegration rank tests under local alternative hypotheses when related drift or linear trend is not dependent upon sample size in VARs
• Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
• A simple cointegrating rank test without vector autoregression
• Semiparametrically optimal cointegration test
• Analytical evaluation of the power of tests for the absence of cointegration

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