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Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
Boswijk, H. Peter; Jansson, Michael; Nielsen, Morten … - School of Economics and Management, University of Aarhus - 2012
We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic … distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of … local power of the proposed tests dominates that of existing cointegration rank tests. …
Persistent link: https://www.econbiz.de/10010851301
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Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
Boswijk, H. Peter; Jansson, Michael; Nielsen, Morten … - Economics Department, Queen's University - 2012
We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic … distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but as … the asymptotic local power of the proposed tests dominates that of existing cointegration rank tests. …
Persistent link: https://www.econbiz.de/10011147849
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Improved likelihood ratio tests for cointegration rank in the VAR model
Boswijk, H. Peter; Jansson, Michael; Nielsen, Morten … - In: Journal of Econometrics 184 (2015) 1, pp. 97-110
We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic … distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but as … local power of the proposed tests dominates that of existing cointegration rank tests. …
Persistent link: https://www.econbiz.de/10011077610
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Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
Boswijk, H. Peter; Jansson, Michael; Nielsen, Morten Ø. - Tinbergen Instituut - 2012
We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic … distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of … local power of the proposed tests dominates that of existing cointegration rank tests. …
Persistent link: https://www.econbiz.de/10011257175
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Tests for Long-Run Granger Non-Causality in Cointegrated Systems
Yamamoto, Taku; Kurozumi, Eiji - Institute of Economic Research, Hitotsubashi University - 2003
chi-square distribution. A test for the ranks of submatrices of the cointegration matrix and its orthogonal matrix plays a …
Persistent link: https://www.econbiz.de/10005783917
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The impact of structural breaks on the integration of the ASEAN-5 stock markets
Chen, Cathy W.S.; Gerlach, Richard; Cheng, Nick Y.P.; … - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 8, pp. 2654-2664
integration in that region. An extended cointegration procedure allowing for three types of structural break, is employed and …
Persistent link: https://www.econbiz.de/10010869876
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Power and Bias of Likelihood Based Inference in the Cointegration Model under Fractional Cointegration
Andersson, Michael K.; Gredenhoff, Mikael P. - Economics Institute for Research (SIR), … - 1998
This paper investigates how fractional cointegration affects the common maximum likelihood cointegration procedure. It … is shown that the likelihood ratio test of no cointegration has considerable power against fractional alternatives. In … long-run relation under fractional cointegration. This suggests that the standard likelihood approach should be used with …
Persistent link: https://www.econbiz.de/10005190901
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Testing a DSGE Model of the EU Using Indirect Inference
Meenagh, David; Minford, Patrick; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2008
We use the method of indirect inference, using the bootstrap, to test the Smets and Wouters model of the EU against a VAR auxiliary equation describing their data; the test is based on the Wald statistic. We find that their model generates excessive variance compared with the data. But their...
Persistent link: https://www.econbiz.de/10005791817
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Testing for vector autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 2002
In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any parametric specification of the volatility process and...
Persistent link: https://www.econbiz.de/10010956345
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"Government Outlays, Economic Growth and Unemployment: A VAR Model"
Wang, Siyan; Abrams, Burton A. - Department of Economics, Lerner College of Business and … - 2011
This paper examines the dynamic effects of government outlays on economic growth and the unemployment rate. Using vector autoregression and data from twenty OECD countries over three recent decades, we found: (1) positive shocks to government outlays slow down economic growth and raise the...
Persistent link: https://www.econbiz.de/10009224838