Testing Linear Restrictions On Cointegrating Vectors: Sizes And Powers Of Wald And Likelihood Ratio Tests In Finite Samples
AbstractThe Wald test for linear restrictions on cointegrating vectors is compared in finite samples using the Monte Carlo method. The Wald test is calculated within the vector error-correction based estimation methods of Bewley, Orden, Yang, and Fisher (1994, Journal of Econometrics 64, 3 27) and of Johansen (1991, Econometrica 59, 1551 1580), the canonical cointegration method of Park (1992, Econometrica 60, 119 143), the dynamic ordinary least squares method of Phillips and Loretan (1991, Review of Economic Studies 58, 407 436), Saikkonen (1991, Econometric Theory 7, 1 21), and Stock and Watson (1993, Econometrica 61, 783 820), the fully modified ordinary least squares method of Phillips and Hansen (1990, Review of Economic Studies 57, 99 125), and the band spectral techniques of Phillips (1991, in W. Barnett, J. Powell, G. E. Tauchen (eds.), Nonparametric and Semiparametric Methods in Economics and Statistics, pp. 413 435). The Wald test performance is also compared to that of the likelihood ratio test suggested by Johansen and Juselius (1990, Oxford Bulletin of Economics and Statistics 52, 169 210) and to a Bartlett correction of that test as proposed by Johansen (1998, A Small Sample Test for Tests of Hypotheses on Cointegrating Vectors, European University Institute).
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 18 (2002)
Issue (Month): 02 (April)
Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_ECTProvider-Email:firstname.lastname@example.org
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Norman Morin, 2006. "Likelihood ratio tests on cointegrating vectors, disequilibrium adjustment vectors, and their orthogonal complements," Finance and Economics Discussion Series 2006-21, Board of Governors of the Federal Reserve System (U.S.).
- Hautsch, Nikolaus & Huang, Ruihong, 2012.
"The market impact of a limit order,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 36(4), pages 501-522.
- Nikolaus Hautsch & Ruihong Huang, 2009. "The Market Impact of a Limit Order," SFB 649 Discussion Papers SFB649DP2009-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Hautsch, Nikolaus & Huang, Ruihong, 2009. "The market impact of a limit order," CFS Working Paper Series 2009/23, Center for Financial Studies (CFS).
- Beyer, Andreas & Haug, Alfred A. & Dewald, William G., 2009. "Structural breaks, cointegration and the Fisher effect," Working Paper Series 1013, European Central Bank.
- Eriksson , Åsa, 2004. "Testing Structural Hypotheses on Cointegration Vectors: A Monte Carlo Study," Working Papers 2004:29, Lund University, Department of Economics.
- Alfred A. Haug & Julie Tam, 2001. "A Closer Look at Long Run Money Demand," Working Papers 2002_09, York University, Department of Economics, revised Sep 2002.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.