Simulating small-sample properties of the maximum likelihood cointegration method : estimation and testing
AbstractThis paper analyzes - using Monte Carlo simulation - small-sample properties of the maximum likelihood cointegration method for estimation and inference in cointegrated systems. The simulations of a bivariate system concentrate on the following; the estimator of the cointegrating vector; the trace test for determining cointegrating rank, and the likelihood ratio and Wald tests for linear restrictions on the cointegrating vector: Furthermore, we introduce autoregressive conditional heteroscedasticity, as well as multivariate non-normality in the form of excess skewness and kurtosis, in the error process. All in all, the results suggest that the maximum likelihood method displays desirable features as long as the samples are of reasonable sizes.
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 Finnish Economic Association in its journal Finnish Economic Papers.
Volume (Year): 8 (1995)
Issue (Month): 2 (Autumn)
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-77, August.
- Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
- Campbell, John & Perron, Pierre, 1991.
"Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots,"
3374863, Harvard University Department of Economics.
- John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220 National Bureau of Economic Research, Inc.
- Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
- John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
- Cheung, Yin-Wong & Lai, Kon S, 1993. "Finite-Sample Sizes of Johansen's Likelihood Ration Tests for Conintegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(3), pages 313-28, August.
- Allen Fleishman, 1978. "A method for simulating non-normal distributions," Psychometrika, Springer, vol. 43(4), pages 521-532, December.
- Richard G. Anderson & Hailong Qian & Robert H. Rasche, 2006. "Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators," Working Papers 2006-050, Federal Reserve Bank of St. Louis.
- Jacobson, Tor & Larsson, Rolf, 1999.
"Bartlett corrections in cointegration testing,"
Computational Statistics & Data Analysis,
Elsevier, vol. 31(2), pages 203-225, August.
- Eriksson , Åsa, 2004. "Testing Structural Hypotheses on Cointegration Vectors: A Monte Carlo Study," Working Papers 2004:29, Lund University, Department of Economics.
- Larsson, Rolf & Villani, Mattias, 2001. "A distance measure between cointegration spaces," Economics Letters, Elsevier, vol. 70(1), pages 21-27, January.
- Annika Alexius, 1997. "Import prices and nominal exchange rates in Sweden," Finnish Economic Papers, Finnish Economic Association, vol. 10(2), pages 99-107, Autumn.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Editorial Secretary).
If references are entirely missing, you can add them using this form.