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...

A number of unit root tests which accommodate a deterministic level shift at a known point in time are compared in a Monte Carlo study. The tests differ in the way they treat the deterministic term of the DGP. It turns out that Phillips-Perron type tests have very poor small sample properties...

The testing of a computing model for a stationary time series is a standard task in statistics. When a parametric approach is used to model the time series, the question of goodness-of-fit arises. In this paper, we employ the empirical likelihood for an a-mixing process and formulate a statistic...

Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests have the same asymptotic distribution as the corresponding tests under...

The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...