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Trend adjustment prior to testing for the cointegrating rank of a VAR process

Saikkonen, Pentti; Lütkepohl, Helmut - 1997

Testing the cointegrating rank of a vector autoregressive process which may have a deterministic linear trend is considered. Previous proposals for dealing with such a situation are either to allow for a deterministic trend term in computing a suitable test statistic or else remove the linear...

Persistent link: https://www.econbiz.de/10009659627

Order selection in testing for the cointegrating rank of a VAR process

Lütkepohl, Helmut; Saikkonen, Pentti - 1997

The impact of the choice of the lag length on tests for the number of cointegration relations in a vector … simulation study we find that small sample power and size of LR cointegration tests strongly depend on the choice of the lag …

Persistent link: https://www.econbiz.de/10009660377

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2000

The properties of a range of maximum eigenvalue and trace tests for the cointegrating rank of a vector autoregressive process are compared. The tests are alilikelihood ratio type tests and operate under different assumptions regarding the deterministic part of the data generation process. The...

Persistent link: https://www.econbiz.de/10009612040

Local power of likelihood ratio tests for the cointegrating rank of a VAR process

Saikkonen, Pentti; Lütkepohl, Helmut - 1997

Likelihood ratio (LR) tests for the cointegrating rank of a vector autoregressive (VAR) process have been developed under different assumptions regarding deterministic terms. For instance, nonzero mean terms and linear trends have been accounted for in some of the tests. In this paper we provide...

Persistent link: https://www.econbiz.de/10009659070

Lag selection in subset VAR models with an application to a US monetary system

Brüggemann, Ralf; Lütkepohl, Helmut - 2000

Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...

Persistent link: https://www.econbiz.de/10009583885

On the reliability of chow type test for parameter constancy in multivariate dynamic models

Candelon, Bertrand; Lütkepohl, Helmut - 2000

The small sample properties of two types of Chow tests are investigated in the context of multiple time series models. It is found that the tests may have substantially distorted size if the sample size is not large relative to the number of parameters in the model under study. In particular the...

Persistent link: https://www.econbiz.de/10009612028

Rank tests for nonlinear cointegration

Breitung, Jörg - 1998

A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is … is no cointegration between the time series, the sequences of ranks tend to diverge, whereas under cointegration the … perform better than their parametric competitors. To test for nonlinear cointegration a variable addition test based on ranks …

Persistent link: https://www.econbiz.de/10009578004

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

Saikkonen, Pentti; Lütkepohl, Helmut - 1998

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...

Persistent link: https://www.econbiz.de/10009578014

Testing for the cointegrating rank of a VAR process with structural shifts

Saikkonen, Pentti; Lütkepohl, Helmut - 2001

cointegration tests are applied to the adjusted series. The resulting tests are shown to have known limiting null distributions …

Persistent link: https://www.econbiz.de/10009578552

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model

Saikkonen, Pentti - 2001

stability theory developed for Markov chains. Stationarity, existence of second moments of the stationary distribution, and …

Persistent link: https://www.econbiz.de/10009616775

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