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Tests for cointegration rank and choice of the alternative

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Author Info
Giuseppe Cavaliere ()
Luca Fanelli
Paolo Paruolo

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10260-007-0084-2
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Publisher Info
Article provided by Springer in its journal Statistical Methods and Applications.

Volume (Year): 18 (2009)
Issue (Month): 2 (July)
Pages: 169-191
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Handle: RePEc:spr:stmapp:v:18:y:2009:i:2:p:169-191

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Related research
Keywords: Cointegration rank; Likelihood ratio; Asymptotic power; Unit roots; Brownian motion;

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References listed on IDEAS
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  1. Cavaliere, Giuseppe & Fanelli, Luca & Gardini, Attilio, 2006. "Regional consumption dynamics and risk sharing in Italy," International Review of Economics & Finance, Elsevier, vol. 15(4), pages 525-542. [Downloadable!] (restricted)
  2. Saikkonen, Pentti & L tkepohl, Helmut, 2000. "Testing For The Cointegrating Rank Of A Var Process With An Intercept," Econometric Theory, Cambridge University Press, vol. 16(03), pages 373-406, June. [Downloadable!]
  3. Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler, 2001. "Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 8.
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  4. Paolo Paruolo, 2002. "On Monte Carlo estimation of relative power," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 65-75, June. [Downloadable!] (restricted)
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  5. Canova, Fabio & Ravn, Morten O, 1996. "International Consumption Risk Sharing," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(3), pages 573-601, August.
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  6. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  7. Paruolo Paolo, . "LR cointegration tests when some cointegrating relations are known," Economics and Quantitative Methods qf0106, Department of Economics, University of Insubria.
  8. Doornik, Jurgen A, 1998. " Approximations to the Asymptotic Distributions of Cointegration Tests," Journal of Economic Surveys, Blackwell Publishing, vol. 12(5), pages 573-93, December. [Downloadable!] (restricted)
  9. Johansen, Soren, 1992. "Determination of Cointegration Rank in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 383-97, August.
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  10. Horvath, Michael T.K. & Watson, Mark W., 1995. "Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified," Econometric Theory, Cambridge University Press, vol. 11(05), pages 984-1014, October. [Downloadable!]
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This page was last updated on 2009-11-21.

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