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A Simple Cointegrating Rank Test Without Vector Autoregression

  • Mototsugu Shintani

    ()

    (Department of Economics, Vanderbilt University)

This paper proposes a fully nonparametric test for cointegrating rank which does not require estimation of a vector autoregressive model. The test exploits the fact that the degeneracy in the moment matrix of the variables with mixed integration order corresponds to the notion of cointegration. With an appropriate standardization, the test statistics are shown to have a nuisance parameter free limiting distribution and to be consistent under reasonable conditions. Monte Carlo experiments also suggest that the performance of the test is satisfactory with a moderate sample size. The proposed tests are applied to the stochastic growth model using the U.S. aggregate data.

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File URL: http://www.accessecon.com/pubs/VUECON/vu00-w44.pdf
File Function: First version, 2000
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Paper provided by Vanderbilt University Department of Economics in its series Vanderbilt University Department of Economics Working Papers with number 0044.

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Date of creation: Sep 2000
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Handle: RePEc:van:wpaper:0044
Contact details of provider: Web page: http://www.vanderbilt.edu/econ/wparchive/index.html

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  24. Cheung, Yin-Wong & Lai, Kon S, 1993. "Finite-Sample Sizes of Johansen's Likelihood Ration Tests for Conintegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(3), pages 313-28, August.
  25. Chao, John C. & Phillips, Peter C. B., 1999. "Model selection in partially nonstationary vector autoregressive processes with reduced rank structure," Journal of Econometrics, Elsevier, vol. 91(2), pages 227-271, August.
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  27. Saikkonen, Pentti & L tkepohl, Helmut, 1999. "Local Power Of Likelihood Ratio Tests For The Cointegrating Rank Of A Var Process," Econometric Theory, Cambridge University Press, vol. 15(01), pages 50-78, February.
  28. Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-87, August.
  29. Nabeya, Seiji & Tanaka, Katsuto, 1990. "Limiting power of unit-root tests in time-series regression," Journal of Econometrics, Elsevier, vol. 46(3), pages 247-271, December.
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