LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS

Pentti Saikkonen and Helmut L tkepohl

Econometric Theory, 1999, vol. 15, issue 01, pages 50-78

Abstract: Likelihood ratio (LR) tests for the cointegrating rank of a vector autoregressive process have been developed under different assumptions regarding deterministic terms. For instance, nonzero mean terms and linear trends have been accounted for in some of the tests. In this paper we provide a general framework for deriving the local power properties of these tests. Thereby it is possible to assess the virtue of utilizing varying amounts of prior information by making assumptions regarding the deterministic terms. One interesting result from this analysis is that if no assumptions regarding the specific form of the mean term are made whereas a linear trend is excluded then a test is available that has the same local power as an LR test derived under a zero mean assumption.

Date: 1999
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S026646669915103X link to article abstract page (text/html)

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: http://EconPapers.repec.org/RePEc:cup:etheor:v:15:y:1999:i:01:p:50-78_15

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().