A Multivariate Test of the Null of Cointegration Using Covariates
نویسنده
چکیده
A multivariate test for stationarity is proposed in this paper. We develop Lagrange Multiplier type tests based on using additional stationary covariates. We show that the tests can be used to determine the number of cointegrating vectors in a system, starting with the null hypothesis of r cointegrating vectors and testing for less than r cointegrating vectors. A Monte Carlo experiment shows that the new tests have more power than standard stationarity tests if the covariates are highly correlated with the stationary part of the data.
منابع مشابه
Near-Optimal Unit Root Tests with Stationary Covariates with Better Finite Sample Size
Numerous tests for integration and cointegration have been proposed in the literature. Since Elliott, Rothemberg and Stock (1996) the search for tests with better power has moved in the direction of finding tests with some optimality properties both in univariate and multivariate models. Although the optimal tests constructed so far have asymptotic power that is indistinguishable from the power...
متن کاملTesting for the Equality of Integration Orders of Multiple Series
Testing for the equality of integration orders is an important topic in time series analysis because it constitutes an essential step in testing for (fractional) cointegration in the bivariate case. For the multivariate case, there are several versions of cointegration, and the version given in Robinson and Yajima (2002) has received much attention. In this definition, a time series vector is p...
متن کاملInference on the Cointegration Rank in Fractionally Integrated Processes ∗
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...
متن کاملA Modified Information Criterion for Cointegration Tests based on a VAR Approximation∗
We consider Johansen’s (1988, 1991) cointegration tests when a Vector AutoRegressive (VAR) process of order k is used to approximate a more general linear process with a possibly infinite VAR representation. Traditional methods to select the lag order, such as Akaike’s (AIC) or the Bayesian information criteria, often lead to too parsimonious a model with the implication that the cointegration ...
متن کاملStructural Spurious Regressions and A Hausman-Wu-type Cointegration Test∗
Economic models often imply that certain variables are cointegrated. However, tests often fail to reject the null hypothesis of no cointegration for these variables. One possible explanation of these test results is that the error is unit root nonstationary due to a nonstationary measurement error in one variable. For example, currency held by domestic economic agents for legitimate transaction...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2004