The power of lambda max

Oxford Bulletin of Economics and Statistics

Volumn 63, Issue 3, 2001, Pages 395-403

  Paruolo, Paolo ^a  

^a UNIVERSITY OF INSUBRIA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035641655     PISSN: 03059049     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0084.00227     Document Type: Article

References (10)

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3. Hansen, P. R. and Johansen, S. (1998). Workbook in cointegration, Oxford University Press, Oxford.
4. Hendry, D. F., Neale, A. J. and Ericsson, N. R. (1990). 'Pc-Naive, an interactive program for Monte Carlo experimentation in econometrics', Institute of Economics and Statistics, University of Oxford.
5. Johansen, S. (1991a). 'Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models', Econometrica, Vol. 59, pp. 1551-80.
6. Johansen, S. (1991b). 'The power function of the likelihood ratio test for cointegration', in J. Gruber (ed.) Econometric decision models: new methods of modelling and applications, 323-35, Springer Verlag, New York.
7. Johansen, S. (1992). 'Determination of cointegration rank in the presence of a linear trend', BULLETIN. Vol 54, pp. 383-97.
8. Johansen, S. (1996). Likelihood-based inference in cointegrated vector auto-regressive models, Oxford University Press, Oxford.
9. Pantula, S. G. (1989). Testing for unit roots in time series data, Econometric Theory, Vol. 5, pp. 256-71.
10. Paruolo, P. (2001). 'On Monte Carlo Estimation of Relative Power', mimeo., Universita della'Insubria, Varese, Italy.