Inference on the cointegration rank in fractionally integrated processes

Jörg Breitung () and Uwe Hassler

No 2000,65, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: For univariate time series we suggest a new variant of efficient score tests against fractional alternatives. This test has three important merits. First, by means of simulations we observe that it is superior in terms of size and power in some situations of practical interest. Second, it is easily understood and implemented as a slight modification of the Dickey-Fuller test, although our score test has a limiting normal distribution. Third and most important, our test generalizes to multivariate cointegration tests just as the Dickey-Fuller test does. Thus it allows to determine the cointegration rank of fractionally integrated time series. It does so by solving a generalized eigenvalue problem of the type proposed by Johansen (1988). However, the limiting distribution of the corresponding trace statistic is X2 , where the degrees of freedom depend only on the cointegration rank under the null hypothesis. The usefulness of the asymptotic theory for finite samples is established in a Monte Carlo experiment.

Date: 2000
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/62214/1/723784345.pdf (application/pdf)

Related works:
Journal Article: Inference on the cointegration rank in fractionally integrated processes (2002)
Working Paper: Inference on the cointegration rank in fractionally integrated processes (2002)
Working Paper: Inference on the Cointegration Rank in Fractionally Integrated Processes (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:sfb373:200065

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 ().