Kurita, Takamitsu - In: Mathematics and Computers in Simulation (MATCOM) 80 (2010) 10, pp. 2033-2039
This paper investigates effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors. The … experiments conducted in this paper, a high signal-to-noise ratio tends to reduce size distortions of a likelihood-based test … statistic for a hypothesis on cointegrating vectors; a low signal-to-noise ratio is, in contrast, prone to amplify the size …