Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62214
Authors: 
Breitung, Jörg
Hassler, Uwe
Year of Publication: 
2000
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,65
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.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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