EconPapers    
Economics at your fingertips  
 

Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming

Guillaume Chevillon ()

Working Papers from HAL

Abstract: Standard tests for the rank of cointegration of a vector autoregressive process present distributions that are affected by the presence of deterministic trends. We consider the recent approach of Demetrescu et al. (2009) who recommend testing a composite null. We assess this methodology in the presence of trends (linear or broken) whose magnitude is small enough not to be detectable at conventional significance levels. We model them using local asymptotics and derive the properties of the test statistics. We show that whether the trend is orthogonal to the cointegrating vector has a major impact on the distributions but that the test combination approach remains valid. We apply of the methodology to the study of cointegration properties between global temperatures and the radiative forcing of human gas emissions. We find new evidence of Granger Causality.

Keywords: Likelihood Ratio; Local Trends; Cointegration; Deterministic Trend; Global Warming (search for similar items in EconPapers)
Date: 2013-11
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: View the original document on HAL open archive server: https://hal-essec.archives-ouvertes.fr/hal-00914830
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://hal-essec.archives-ouvertes.fr/hal-00914830/document (application/pdf)

Related works:
Journal Article: Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming (2017) Downloads
Working Paper: Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming (2013) Downloads
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:hal:wpaper:hal-00914830

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2021-09-08
Handle: RePEc:hal:wpaper:hal-00914830