Export für Ihre Literaturverwaltung

Übernahme per Copy & Paste



Bookmark and Share

A Wald test for the cointegration rank in nonstationary fractional systems


Avarucci, Marco; Velasco, Carlos


Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-233539

Weitere Angaben:
Abstract This paper develops new methods for determining the cointegration rank in a nonstationary fractionally integrated system, extending univariate optimal methods for testing the degree of integration. We propose a simple Wald test based on the singular value decomposition of the unrestricted estimate of the long run multiplier matrix. When the “strength” of the cointegrating relationship is less than 1/2, the test statistic has a standard asymptotic distribution, like Lagrange Multiplier tests exploiting local properties. We consider the behavior of our test under estimation of short run parameters and local alternatives. We compare our procedure with other cointegration tests based on different principles and find that the new method has better properties in a range of situations by using information on the alternative obtained through a preliminary estimate of the cointegration strength.
Klassifikation Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter C12; C32; Fractional integration; Fractional error correction model; Singular value decomposition; Cointegration test
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 178-189
Zeitschriftentitel Journal of Econometrics, 151 (2009) 2
DOI http://dx.doi.org/10.1016/j.jeconom.2009.03.007
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)