Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/62164 
Year of Publication: 
2000
Series/Report no.: 
SFB 373 Discussion Paper No. 2000,10
Publisher: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Abstract: 
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.
Subjects: 
local power
test size
cointegration
vector autoregressive process
error correction model
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
404.23 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.