Johansen cointegration rank tests under local alternative hypotheses when related drift or linear trend is not dependent upon sample size in VARs

DOI10.1080/03610926.2018.1522350OpenAlexW2902671478WikidataQ128827141 ScholiaQ128827141MaRDI QIDQ5077946FDOQ5077946

Authors: Mitsuhiro Odaki, Min Li 

Publication date: 20 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1522350

zbMATH Keywords

driftlinear trendlocal alternative hypothesesjohansen cointegration rank tests

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
• Statistical analysis of cointegration vectors
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Regression Theory for Near-Integrated Time Series
• LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
• Local power of likelihood-based tests for cointegrating rank: comparative analysis of full and partial systems

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