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Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses

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  • Odaki, Mitsuhiro

Abstract

This paper discusses cointegration rank tests based on finite lag-order vector autoregressive approximations under alternative hypotheses. We obtain a uniform divergence rate for the test statistics and discuss several implications regarding the power of the tests.

Suggested Citation

  • Odaki, Mitsuhiro, 2015. "Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses," Economics Letters, Elsevier, vol. 136(C), pages 187-189.
    • Handle: RePEc:eee:ecolet:v:136:y:2015:i:c:p:187-189
    DOI: 10.1016/j.econlet.2015.09.028
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    References listed on IDEAS

    as
    1. Shintani, Mototsugu, 2001. "A simple cointegrating rank test without vector autoregression," Journal of Econometrics, Elsevier, vol. 105(2), pages 337-362, December.
    2. Saikkonen, Pentti & Luukkonen, Ritva, 1997. "Testing cointegration in infinite order vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 93-126, November.
    3. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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    More about this item

    Keywords

    Cointegration rank tests; Finite lag-order vector autoregressive approximations; Alternative hypotheses; Divergence rate;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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