IDEAS home Printed from https://ideas.repec.org/a/bla/obuest/v63y2001i3p395-403.html
   My bibliography  Save this article

The Power of Lambda Max

Author

Listed:
  • Paolo Paruolo

Abstract

This paper condiders likelihood ratio (LR) cointegration rank tests in vector autoregressive models (VAR); the local power of the most widely used LR 'trace' test is compared with the LR 'lambda max' test. It is found that neither test uniformily dominates the other one. Moreover it is shown that the asymptotic properties of the estimator of the cointegration rank based on the trace test are shared by a similar estimator based on the lambda max test. These results indicate that the both tests are admissible.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Paolo Paruolo, 2001. "The Power of Lambda Max," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(3), pages 395-403, July.
    • Handle: RePEc:bla:obuest:v:63:y:2001:i:3:p:395-403
    DOI: 10.1111/1468-0084.00227
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1468-0084.00227
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1468-0084.00227?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Trenkler, Carsten, 2009. "Bootstrapping Systems Cointegration Tests With A Prior Adjustment For Deterministic Terms," Econometric Theory, Cambridge University Press, vol. 25(1), pages 243-269, February.
    2. Paruolo, Paolo, 2006. "Common trends and cycles in I(2) VAR systems," Journal of Econometrics, Elsevier, vol. 132(1), pages 143-168, May.
    3. Giuseppe Cavaliere & Luca Fanelli & Paolo Paruolo, 2009. "Tests for cointegration rank and choice of the alternative," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(2), pages 169-191, July.
    4. David H. Bernstein & Bent Nielsen, 2019. "Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient," Econometrics, MDPI, vol. 7(1), pages 1-24, January.
    5. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," Discussion Papers 10-07, University of Copenhagen. Department of Economics.
    6. Paolo Paruolo, 2006. "The Likelihood Ratio Test for the Rank of a Cointegration Submatrix," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 921-948, December.
    7. Cavaliere Giuseppe & Fanelli Luca & Paruolo Paolo, 2001. "Determining the number of cointegrating relations under rank constraints," Economics and Quantitative Methods qf0109, Department of Economics, University of Insubria.
    8. El Benni, Nadja & Finger, Robert & Hediger, Werner, 2014. "Transmission of beef and veal prices in different marketing channels," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182696, European Association of Agricultural Economists.
    9. Nielsen, Heino Bohn, 2007. "A "maximum-eigenvalue" test for the cointegration ranks in I(2) vector autoregressions," Economics Letters, Elsevier, vol. 94(3), pages 445-451, March.
    10. Swensen, Anders Rygh, 2011. "A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables," Journal of Econometrics, Elsevier, vol. 165(2), pages 152-162.
    11. Nafeesa Yunus & Peggy Swanson, 2007. "Modelling Linkages between US and Asia‐Pacific Securitized Property Markets," Journal of Property Research, Taylor & Francis Journals, vol. 24(2), pages 95-122.
    12. Majocchi Antonio & Pavione Enrica, 2002. "International franchising in Italy: trends and perspectives," Economics and Quantitative Methods qf0215, Department of Economics, University of Insubria.
    13. Becker William & Paruolo Paolo & Saltelli Andrea, 2021. "Variable Selection in Regression Models Using Global Sensitivity Analysis," Journal of Time Series Econometrics, De Gruyter, vol. 13(2), pages 187-233, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:63:y:2001:i:3:p:395-403. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfeixuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.