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Testing For The Cointegrating Rank Of A Var Process With An Intercept

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Author Info
Saikkonen, Pentti
L tkepohl, Helmut
Abstract

Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius (1990, Oxford Bulletin of Economics and Statistics, 52, 169 210) and others we also consider an alternative class of tests that is based on estimating the trend parameters of the deterministic term in a different way. The asymptotic local power of these tests is derived and compared to that of the corresponding LR tests. The small sample properties are investigated by simulations. The new tests are seen to be substantially more powerful than conventional LR tests.

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File URL: http://journals.cambridge.org/abstract_S0266466600163042
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 16 (2000)
Issue (Month): 03 (June)
Pages: 373-406
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:16:y:2000:i:03:p:373-406_16

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