weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first …

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 …

We suggest improved tests for cointegration rank in the vector au- toregressive (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. -- Cointegration rank ; efficiency …