Simulating small-sample properties of the maximum likelihood cointegration method: estimation and testing

Tor Jacobson
Additional contact information
Tor Jacobson: Department of Statistics, Uppsala University, Sweden

Finnish Economic Papers, 1995, vol. 8, issue 2, 96-107

Abstract: This paper analyzes - using Monte Carlo simulation - small-sample properties of the maximum likelihood cointegration method for estimation and inference in cointegrated systems. The simulations of a bivariate system concentrate on the following; the estimator of the cointegrating vector; the trace test for determining cointegrating rank, and the likelihood ratio and Wald tests for linear restrictions on the cointegrating vector: Furthermore, we introduce autoregressive conditional heteroscedasticity, as well as multivariate non-normality in the form of excess skewness and kurtosis, in the error process. All in all, the results suggest that the maximum likelihood method displays desirable features as long as the samples are of reasonable sizes.

JEL-codes: C15 C32 (search for similar items in EconPapers)
Date: 1995
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://taloustieteellinenyhdistys.fi/images/stories/fep/f1995_2d.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fep:journl:v:8:y:1995:i:2:p:96-107

Access Statistics for this article

More articles in Finnish Economic Papers from Finnish Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Editorial Secretary ( this e-mail address is bad, please contact ).