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Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses

Mitsuhiro Odaki

Economics Letters, 2015, vol. 136, issue C, 187-189

Abstract: This paper discusses cointegration rank tests based on finite lag-order vector autoregressive approximations under alternative hypotheses. We obtain a uniform divergence rate for the test statistics and discuss several implications regarding the power of the tests.

Keywords: Cointegration rank tests; Finite lag-order vector autoregressive approximations; Alternative hypotheses; Divergence rate (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Date: 2015
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