Tests for cointegration rank and choice of the alternative

DOI10.1007/S10260-007-0084-2MaRDI QIDQ734469zbMATHOpenAlexFDO

Authors Giuseppe Cavaliere, Luca Fanelli, Paolo Paruolo

Publication date 13 October 2009

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-007-0084-2

zbMATH Keywords

asymptotic powerunit rootsBrownian motioncointegration ranklikelihood ratio

Mathematics Subject Classification ID

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

Recommendations

• TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
• Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
• Improved likelihood ratio tests for cointegration rank in the VAR model
• LR cointegration tests when some cointegrating relations are known
• The likelihood ratio test for cointegration ranks in the I(2) model

Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Admissibility of the Likelihood Ratio Test when the Parameter Space is Restricted under the Alternative
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• LR cointegration tests when some cointegrating relations are known
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
• On Monte Carlo estimation of relative power
• On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
• TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT

Cited in

(11)

• The comparison of performances of widely used cointegration tests
• On determination of cointegration ranks
• Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
• Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
• Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses
• The likelihood ratio test for cointegration ranks in the I(2) model
• THE RANK OF A SUBMATRIX OF COINTEGRATION
• Local power of likelihood-based tests for cointegrating rank: comparative analysis of full and partial systems
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• On Monte Carlo estimation of relative power
• Improved likelihood ratio tests for cointegration rank in the VAR model

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