A review of systemscointegration tests

Kirstin Hubrich (), Helmut Lütkepohl and Pentti Saikkonen

No 1998,101, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: The literature on systems cointegration tests is reviewed and the various sets of assumptions for the asymptotic validity of the tests are compared within a general unifying framework. The comparison includes likelihood ratio tests, Lagrange multiplier and Wald type tests, lag augmentation tests, tests based on canonical correlations, the Stock-Watson tests and Bierens' nonparametric tests. Asymptotic results regarding the power of these tests and previous small sample simulation studies are discussed. Further issues and proposals in the context of systems cointegration tests are also considered briefly. New simulations are presented to compare the tests under uniform conditions. Special emphasis is given to the sensitivity of the test performance with respect to the trending properties of the DGP.

Keywords: systems cointegration tests; LR tests; nonparametric tests; asymptotic power; small sample simulations (search for similar items in EconPapers)
Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/61256/1/722055595.pdf (application/pdf)

Related works:
Journal Article: A REVIEW OF SYSTEMS COINTEGRATION TESTS (2001)
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:zbw:sfb373:1998101

Access Statistics for this paper

More papers in SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().