IDEAS home Printed from https://ideas.repec.org/p/zbw/sfb373/1998101.html

A review of systemscointegration tests

Author

Listed:
  • Hubrich, Kirstin
  • Lütkepohl, Helmut
  • Saikkonen, Pentti

Abstract

The literature on systems cointegration tests is reviewed and the various sets of assumptions for the asymptotic validity of the tests are compared within a general unifying framework. The comparison includes likelihood ratio tests, Lagrange multiplier and Wald type tests, lag augmentation tests, tests based on canonical correlations, the Stock-Watson tests and Bierens' nonparametric tests. Asymptotic results regarding the power of these tests and previous small sample simulation studies are discussed. Further issues and proposals in the context of systems cointegration tests are also considered briefly. New simulations are presented to compare the tests under uniform conditions. Special emphasis is given to the sensitivity of the test performance with respect to the trending properties of the DGP.

Suggested Citation

  • Hubrich, Kirstin & Lütkepohl, Helmut & Saikkonen, Pentti, 1998. "A review of systemscointegration tests," SFB 373 Discussion Papers 1998,101, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:1998101
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/61256/1/722055595.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:sfb373:1998101. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/sfhubde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.