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  3. Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin
  4. Discussion Papers, Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin
Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/61241 
Title: 

Testing for the cointegrating rank of a VAR process with an intercept

Authors: 
Saikkonen, Pentti
Lütkepohl, Helmut
Year of Publication: 
1998
Series/Report no.: 
SFB 373 Discussion Paper No. 1998,51
Publisher: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Abstract: 
Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius and others we also consider an alternative class of tests which is based on estimating the trend parameters of the deterministic term in a different way. The asymptotic local power of these tests is derived and compared to that of the corresponding LR tests. The small sample properties are investigated by simulations. The new tests are seen to be substantially more powerful than conventional LR tests.
Persistent Identifier of the first edition: 
urn:nbn:de:kobv:11-10057069
Document Type: 
Working Paper
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Discussion Papers, Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin

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