This paper condiders likelihood ratio (LR) cointegration rank tests in vector autoregressive models (VAR); the local power of the most widely used LR 'trace' test is compared with the LR 'lambda max' test. It is found that neither test uniformily dominates the other one. Moreover it is shown...

This paper uses Vector Autoregressions that allow for nonstationarity and cointegration to investigate the dynamic relation between income and emissions in the period 1970-2008, for all world countries. We consider three emissions compounds, namely CO2, SO2 and a composite global warming index...

This paper provides asymptotic standard errors for the moving average (MA) impact matrix for the second differences of a vector autoregressive (VAR) process integrated of order 2,I(2). Standard errors of the row space of the MA impact matrix are also provided; bases of this row space define the...

This paper discusses common cycles in I(2) vector autoregressive (VAR) systems. Both static and dynamic cofeatures are considered. We consider application of these notions to different choices of stationary variables extracted from a VAR, including deviations from equilibria. This extension is...

This paper analyzes common cycles in I(2) vector autoregressive (VAR) systems. We consider di®erent choices of stationary variables extracted from a VAR, including deviations from equilibria. This extension is based on the equilibrium dynamics representation of the system, introduced in this...

This paper compares the finite sample performance of alternative tests for rank-dficiency of a submatrix of the cointegrating matrix. The paper focuses on the (implementation of the) likelihood ratio test proposed in Paruolo (2007, Oxford Bulletin of Economics and Statistics), and compares its...

This paper discusses common cycles in I(1) vector autoregressive (VAR) systems, both for the first di¤erences of the process and for deviations from equilibrium. This extension is based on the equilibrium dynamics representation of I(1) systems, which is presented in this paper. Inference on...

This paper discusses the Monte Carlo (MC) design of Gaussian Vector Au- toregressive processes (VAR) for the evalutation of invariant statistics. We focus on the case of cointegrated (CI) I(1) processes, linear and invertible trans- formations and CI rank likelihood ratio (LR) tests. It is found...