ON THE PROPERTIES OF SOME TESTS FOR COMMON STOCHASTIC TRENDS

J rg Breitung and Carsten Trenkler ()

Econometric Theory, 2002, vol. 18, issue 06, pages 1336-1349

Abstract: We study the asymptotic properties of the tests suggested by Choi and Ahn (1995, Econometric Theory 11, 952 983) in the case of a (nearly) improper normalization of the cointegration vectors. To overcome the size problems in such situations we suggest a test statistic that is based on the eigenvalues of a canonical correlation analysis. Using Monte Carlo simulations, the small sample properties of our test are compared to various other test statistics recently suggested in the literature.

Date: 2002

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466602186038 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:18:y:2002:i:06:p:1336-1349_18

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 ().