Anda belum login :: 13 Feb 2025 17:29 WIB
Home
|
Logon
Hidden
»
Administration
»
Collection Detail
Detail
Maximum Eigenvalue Versus Trace Tests For The Cointegrating Rank Of A VAR Process
Oleh:
Lutkepohl, Helmut
;
Saikkonen, Pentti
;
Trenkler, Carsten
Jenis:
Article from Journal - ilmiah internasional
Dalam koleksi:
The Econometrics Journal vol. 4 no. 2 (2001)
,
page 287-310.
Topik:
Cointegration
;
Local power analysis
;
Vector autoregressive process.
Fulltext:
287.pdf
(548.13KB)
Isi artikel
The properties of a range of maximum eigenvalue and trace tests for the cointegrating rank of a vector autoregressive process are compared. The tests are all likelihoodratio- type tests and operate under different assumptions regarding the deterministic part of the data generation process. The asymptotic distributions under local alternatives are given and the local power is derived. It is found that the local power of corresponding maximum eigenvalue and trace tests is very similar. A Monte Carlo comparison shows, however, that there may be differences in small samples. The trace tests tend to have more distorted sizes whereas their power is in some situations superior to that of the maximum eigenvalue tests.
Opini Anda
Klik untuk menuliskan opini Anda tentang koleksi ini!
Kembali
Process time: 0.421875 second(s)