Local power of likelihood-based tests for cointegrating rank: Comparative analysis of full and partial systems

DOI10.1111/j.1467-9892.2011.00724.xzbMath1273.62201OpenAlexW1746792539MaRDI QIDQ2851992

Takamitsu Kurita

Publication date: 4 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00724.x

zbMATH Keywords

cointegrating ranklocal power functionlikelihood-based testpartial vector autoregressive system

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Johansen cointegration rank tests under local alternative hypotheses when related drift or linear trend is not dependent upon sample size in VARs

Uses Software

• Ox

Cites Work

• Unnamed Item
• Statistical analysis of cointegration vectors
• Cointegration in partial systems and the efficiency of single-equation analysis
• Structural analysis of vector error correction models with exogenous \(I(1)\) variables
• Exogeneity
• TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
• LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
• The role of the constant and linear terms in cointegration analysis of nonstationary variables

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