On the size and power of system tests for cointegration

Review of Economics and Statistics

Volumn 80, Issue 4, 1998, Pages 675-679

  Bewley, Ronald ^a   Yang, Minxian ^a  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0008870024     PISSN: 00346535     EISSN: None     Source Type: Journal    
DOI: 10.1162/003465398557771     Document Type: Article

References (8)

1. Andrews, D. W. K., and W. Ploberger, "Optimal Tests When a Nuisance Parameter is Present Only Under the Alternative," Econometrica 62 (1994), 1383-1414.
2. Bewley, Ronald, and Minxian Yang, "Test for Cointegration Based on Canonical Correlation Analysis," Journal of the American Statistical Association 90 (1995), 990-996.
3. Cheung, Yin-Wong, and Kon S. Lai, "Finite-Sample Sizes of Johansen's Likelihood Ratio Tests for Cointegration," Oxford Bulletin of Economics and Statistics 55 (1993), 313-328.
4. Haug, Alfred A., "Tests for Cointegration: A Monte Carlo Comparison," Journal of Econometrics 71 (1996), 89-115.
5. Ho, Mun S., and Bent E. Sørensen, "Finding Cointegration Rank in High Dimensional Systems Using the Johansen Test: An Illustration Using Data Based Monte Carlo Simulations," Review of Economics and Statistics 78 (1996), 726-732.
6. Johansen, Søren, "Statistical Analysis of Cointegration Vectors," Journal of Economic Dynamics and Control 12 (1988), 132-254.
7. Stock, James H., and Mark W. Watson, "Testing for Common Trends," Journal of the American Statistical Association 83 (1988), 1097-1107.
8. Toda, Hiro Y., "Finite Sample Properties of Likelihood Ratio Tests for Cointegrating Ranks When Linear Trends are Present," Review of Economics and Statistics 76 (1994), 66-79.