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Semi-nonparametric cointegration testing

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Author Info
Boswijk, H. Peter (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics)
Lucas, Andr‚

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Abstract

This paper considers a semi-nonparametric cointegration test. The test uses the LM-testing principle. The score function needed for the LM-test is estimated from the data using an expansion of the density around a Student t distribution. In this way, we capture both the possible fat-tailedness and the skewness of the innovation process. Model selection criteria are employed to select the appropriate order of the expansion in finite samples. Using a Monte-Carlo experiment, we show that the semi-nonparametric cointegration test has good size and power properties. The test outperforms previous testing procedures in terms of power over a broad class of distributions for the innovation process.

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Publisher Info
Paper provided by VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics in its series Serie Research Memoranda with number 0041.

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Date of creation: 1997
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Handle: RePEc:dgr:vuarem:1997-41

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation

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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.:
  1. Søren Johansen, 1994. "The role of the constant and linear terms in cointegration analysis of nonstationary variables," Econometric Reviews, Taylor and Francis Journals, vol. 13(2), pages 205-229. [Downloadable!] (restricted)
  2. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)
  3. Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-90, March. [Downloadable!] (restricted)
  4. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May. [Downloadable!] (restricted)
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  5. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July. [Downloadable!] (restricted)
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  6. Kleibergen, Frank & van Dijk, Herman K., 1994. "Direct cointegration testing in error correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 61-103, July. [Downloadable!] (restricted)
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  7. 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)
  8. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  1. Nikolaus A. Siegfried, 2002. "An information-theoretic extension to structural VAR modelling," Econometrics 0203005, EconWPA. [Downloadable!]
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  2. Boswijk, H. Peter & Lucas, Andr‚ & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda 0062, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
  3. H. Peter Boswijk & Franc Klaassen, 2005. "Why Frequency Matters for Unit Root Testing," Tinbergen Institute Discussion Papers 04-119/4, Tinbergen Institute. [Downloadable!]
  4. H. Peter Boswijk, 2001. "Testing for a Unit Root with Near-Integrated Volatility," Tinbergen Institute Discussion Papers 01-077/4, Tinbergen Institute. [Downloadable!]
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  5. Jurgen A. Doornik & H. Peter Boswijk, 2005. "Distribution approximations for cointegration tests with stationary exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 797-810. [Downloadable!]
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  6. Kirstin Hubrich & Helmut Lütkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor and Francis Journals, vol. 20(3), pages 247-318. [Downloadable!] (restricted)
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  7. Markku Lanne & Helmut Luetkepohl, 2005. "Structural Vector Autoregressions with Nonnormal Residuals," Economics Working Papers ECO2005/25, European University Institute. [Downloadable!]
    Other versions:
  8. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute. [Downloadable!]
  9. Ted Juhl & Zhijie Xiao, 2000. "N-Consistent Semiparametric Regression: Partially Linear Models with Unit Roots," Econometric Society World Congress 2000 Contributed Papers 1532, Econometric Society. [Downloadable!]
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