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Semi-nonparametric cointegration testing

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  • 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‚

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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Bibliographic 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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  1. 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.
  2. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
  3. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  4. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  5. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
  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.
  7. 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.
  8. Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-90, March.
  9. 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.
  10. Lucas, André, 1997. "Cointegration Testing Using Pseudolikelihood Ratio Tests," Econometric Theory, Cambridge University Press, vol. 13(02), pages 149-169, April.
  11. Hodgson, D.J., 1995. "Adaptive Estimation of Error Correlation Models," RCER Working Papers 410, University of Rochester - Center for Economic Research (RCER).
  12. Andre Lucas, 1998. "Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods," Econometric Reviews, Taylor & Francis Journals, vol. 17(2), pages 185-214.
  13. Nishii, R., 1988. "Maximum likelihood principle and model selection when the true model is unspecified," Journal of Multivariate Analysis, Elsevier, vol. 27(2), pages 392-403, November.
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Citations

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Cited by:
  1. H. Peter Boswijk & Franc Klaassen, 2005. "Why Frequency Matters for Unit Root Testing," Tinbergen Institute Discussion Papers 04-119/4, Tinbergen Institute.
  2. H. Peter Boswijk, 2001. "Testing for a Unit Root with Near-Integrated Volatility," Tinbergen Institute Discussion Papers 01-077/4, Tinbergen Institute.
  3. 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.
  4. repec:dgr:uvatin:2099012 is not listed on IDEAS
  5. Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 247-318.
  6. Markku Lanne & Helmut Luetkepohl, 2006. "Structural Vector Autoregressions with Nonnormal Residuals," CESifo Working Paper Series 1651, CESifo Group Munich.
  7. 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.
  8. H. Peter Boswijk & Franc Klaassen, 2005. "Why Frequency Matters for Unit Root Testing," Tinbergen Institute Discussion Papers 04-119/4, Tinbergen Institute.
  9. 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.
  10. H. Peter Boswijk & Jurgen A. Doornik, 1999. "Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors," Tinbergen Institute Discussion Papers 99-013/4, Tinbergen Institute.
  11. Nikolaus A. Siegfried, 2002. "An information-theoretic extension to structural VAR modelling," Quantitative Macroeconomics Working Papers 20203, Hamburg University, Department of Economics.
  12. Marloes de Graaf-Zijl, 2005. "The Anatomy of Job Satisfaction and the Role of Contingent Employment Contracts," Tinbergen Institute Discussion Papers 05-119/3, Tinbergen Institute.
  13. H. Peter Boswijk, 2001. "Testing for a Unit Root with Near-Integrated Volatility," Tinbergen Institute Discussion Papers 01-077/4, Tinbergen Institute.
  14. Boswijk, H. Peter & Lucas, André & 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.
  15. Juhl, Ted & Xiao, Zhijie, 2005. "Testing for cointegration using partially linear models," Journal of Econometrics, Elsevier, vol. 124(2), pages 363-394, February.

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