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Testing Linear Restrictions On Cointegrating Vectors: Sizes And Powers Of Wald And Likelihood Ratio Tests In Finite Samples


  • Haug, Alfred A.


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  • Haug, Alfred A., 2002. "Testing Linear Restrictions On Cointegrating Vectors: Sizes And Powers Of Wald And Likelihood Ratio Tests In Finite Samples," Econometric Theory, Cambridge University Press, vol. 18(02), pages 505-524, April.
  • Handle: RePEc:cup:etheor:v:18:y:2002:i:02:p:505-524_18

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    References listed on IDEAS

    1. J. FAN & Wolfgang HÄRDLE & Enno MAMMEN, 1996. "Direct estimation of low dimensional components in additive models," SFB 373 Discussion Papers 1996,17, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    2. Wolfgang HÄRDLE & O. LINTON, 1995. "Nonparametric Regression," SFB 373 Discussion Papers 1995,29, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    3. Newey, Whitney K., 1994. "Kernel Estimation of Partial Means and a General Variance Estimator," Econometric Theory, Cambridge University Press, vol. 10(02), pages 1-21, June.
    4. Fuss, Melvyn & McFadden, Daniel & Mundlak, Yair, 1978. "A Survey of Functional Forms in the Economic Analysis of Production," Histoy of Economic Thought Chapters,in: Fuss, Melvyn & McFadden, Daniel (ed.), Production Economics: A Dual Approach to Theory and Applications, volume 1, chapter 4 McMaster University Archive for the History of Economic Thought.
    5. Ernst R. Berndt & Laurits R. Christensen, 1973. "The Internal Structure of Functional Relationships: Separability, Substitution, and Aggregation," Review of Economic Studies, Oxford University Press, vol. 40(3), pages 403-410.
    6. Denny, Michael & Fuss, Melvyn A, 1977. "The Use of Approximation Analysis to Test for Separability and the Existence of Consistent Aggregates," American Economic Review, American Economic Association, vol. 67(3), pages 404-418, June.
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    Cited by:

    1. Haug Alfred A & Beyer Andreas & Dewald William, 2011. "Structural Breaks and the Fisher Effect," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-31, May.
    2. 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.
    3. Eriksson , Åsa, 2004. "Testing Structural Hypotheses on Cointegration Vectors: A Monte Carlo Study," Working Papers 2004:29, Lund University, Department of Economics.
    4. repec:pje:journl:article27sumiv is not listed on IDEAS
    5. repec:eee:eneeco:v:67:y:2017:i:c:p:366-374 is not listed on IDEAS
    6. Beyer, Andreas & Dewald, William G. & Haug, Alfred A., 2009. "Structural breaks, cointegration and the Fisher effect," Working Paper Series 1013, European Central Bank.
    7. Norman J. 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.).
    8. 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.
    9. Canepa, Alessandra, 2016. "A note on Bartlett correction factor for tests on cointegrating relations," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 296-304.
    10. Haug & Julie Tam, 2007. "A Closer Look At Long-Run U.S. Money Demand: Linear Or Nonlinear Error-Correction With M0, M1, Or M2?," Economic Inquiry, Western Economic Association International, vol. 45(2), pages 363-376, April.

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