Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
复制标题
使用基于伪似然的 lr 和 lm 检验来推断协整等级
DOI：
10.1080/07474939808800411
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发表时间：
1998
影响因子：
1.2
通讯作者：
A. Lucas
中科院分区：
文献类型：
--
作者：
A. Lucas
研究了向量自回归系统协整秩的拉格朗日乘子（LM）检验和似然比（LR）检验。为了处理异常值和误差过程中可能出现的肥尾现象，采用非高斯似然进行估计。基于这些非高斯伪）似然的测试的极限分布推导。这些分布依赖于滋扰参数。提出了一个操作过程来执行推理。如果误差是厚尾的，那么基于非高斯伪似然的测试似乎比基于高斯伪似然的测试更强大。此外，操作LM型测试具有比LR型测试更好的总体性能。版权所有O 1998由Marcel Dekker，Inc.
This paper considers Lagrange Multiplier (LM) and Likelihood Ratio (LR) tests for determining the cointegrating rank of a vector autoregressive system. n order to deal with outliers and possible fat-tailedness of the error process, non-Gaussian likelihoods are used to carry out the estimation. The limiting distributions of the tests based on these non-Gaussian pseudo-)likelihoods are derived. These distributions depend on nuisance parameters. An operational procedure is proposed to perform inference. It appears that the tests based on non-Gaussian pseudo-likelihoods are much more powerful than their Gaussian counterparts if the errors are fat-tailed. Moreover, the operational LM-type test has a better overall performance than the LR-type test. Copyright O 1998 by Marcel Dekker, Inc.