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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 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
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
to construct a confidence set for the cointegration rank. As the latter test, our tests are based on the eigenvalues of a … to Johansen's LR tests for determining the cointegration rank. …
Persistent link: https://www.econbiz.de/10009578561
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
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
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
This paper improves previous sufficient conditions for stationarity obtained in the context of a general nonlinear vector autoregressive model with nonlinear autoregressive conditional heteroskedasticity. The results are proved by using the stability theory developed for Markov chains....
Persistent link: https://www.econbiz.de/10009616775
rate and shows the interaction of the main variables of the monetary sector. -- Cointegration analysis ; impulse response …
Persistent link: https://www.econbiz.de/10009616780
The concept of integrated stochastic processes is widely used in empirical macroeconomics; and cointegration analysis … considerable empirical method for extracting information from monetary aggregates for monetary policy purposes. -- cointegration …
Persistent link: https://www.econbiz.de/10009620770