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On the empirical size of Nielsen's multivariate likelihood ratio test of fractional integration

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  • P. S. Sephton

Abstract

Nielsen (2004) provides multivariate maximum likelihood procedures to test whether several series are fractionally integrated. This note examines the finite sample size of the likelihood ratio tests applied to a bivariate system experiencing breaks in means. The results suggest that tests of a common unit root are somewhat undersized in small samples.

Suggested Citation

  • P. S. Sephton, 2010. "On the empirical size of Nielsen's multivariate likelihood ratio test of fractional integration," Applied Economics, Taylor & Francis Journals, vol. 42(13), pages 1671-1679.
    • Handle: RePEc:taf:applec:v:42:y:2010:i:13:p:1671-1679
    DOI: 10.1080/00036840701721638
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    References listed on IDEAS

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    1. Mark J. Jensen, 2009. "The Long‐Run Fisher Effect: Can It Be Tested?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(1), pages 221-231, February.
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