Comparison of tests for the cointegrating rank of a VAR process with a structural shift
Helmut Lütkepohl (),
Pentti Saikkonen () and
Carsten Trenkler ()
No 2000,10, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Two different types of tests for the cointegrating rank of VAR processes with a deterministic shift in the level have been proposed in the literature. The first proposal is based on the LR principle using a specific Gaussian model set-up. In the second proposal the time series are adjusted for deterministic terms first and then LR type tests are applied to the adjusted series. The local power of the two types of tests is derived and compared. Moreover, the small sample size and power properties of the tests are explored. It is found that the tests based on adjusted series generally have superior local power and size properties.
Keywords: local power; test size; cointegration; vector autoregressive process; error correction model (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (38) Track citations by RSS feed
Downloads: (external link)
Journal Article: Comparison of tests for the cointegrating rank of a VAR process with a structural shift (2003)
Working Paper: Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:200010
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 ().