Determining the number of cointegrating relations under rank constraints
This paper proposes likelihood-based procedures for determining the number of cointegrating vectors in the presence of constraints on the cointegration rank. The tests can be applied when a priori information suggests a lower bound on the number of common stochastic trends in the system. The likelihood ratio trace and and lambda max tests are obtained as special cases of the present setup. The tests are easy to implement and have comparable asymptotic power with respect to the trace test; it is also shown that the constrained tests are more powerful for some local alternatives.
|Date of creation:||Jul 2001|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.uninsubria.it/uninsubria/facolta/econo.html
More information through EDIRC
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.:
- Campbell, John Y & Shiller, Robert J, 1987.
"Cointegration and Tests of Present Value Models,"
Journal of Political Economy,
University of Chicago Press, vol. 95(5), pages 1062-88, October.
- John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation for Research in Economics, Yale University.
- Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
- John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," NBER Working Papers 1885, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Johansen, S., 1991. "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers 76a, Helsinki - Department of Economics.
- Mougoue, Mbodja, 1992. "The Term Structure of Interest Rates as a Cointegrated System: Empirical Evidence from the Eurocurrency Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(3), pages 285-96, Fall.
- Pantula, Sastry G., 1989. "Testing for Unit Roots in Time Series Data," Econometric Theory, Cambridge University Press, vol. 5(02), pages 256-271, August.
- 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.
- Paruolo Paolo, . "LR cointegration tests when some cointegrating relations are known," Economics and Quantitative Methods qf0106, Department of Economics, University of Insubria.
- Paolo Paruolo, 2002.
"On Monte Carlo estimation of relative power,"
Royal Economic Society, vol. 5(1), pages 65-75, June.
- Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1987.
"Stochastic Trends and Economic Fluctuations,"
NBER Working Papers
2229, National Bureau of Economic Research, Inc.
- Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
- Paruolo Paolo, .
"The power of lambda max,"
Economics and Quantitative Methods
qf0004, Department of Economics, University of Insubria.
- Dominguez, Emilio & Novales, Alfonso, 2000. "Testing the expectations hypothesis in Eurodeposits," Journal of International Money and Finance, Elsevier, vol. 19(5), pages 713-736, October.
- repec:cup:etheor:v:11:y:1995:i:5:p:984-1014 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:ins:quaeco:qf0109. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Segreteria Dipartimento)The email address of this maintainer does not seem to be valid anymore. Please ask Segreteria Dipartimento to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.