Finite Sample Properties of Likelihood Ratio Tests for Cointegrating Ranks when Linear Trends are Present
Finite Sample Properties of Likelihood Ratio Tests for Cointegrating Ranks when Linear Trends are Present
复制标题
存在线性趋势时协整等级似然比检验的有限样本属性
DOI：
10.2307/2109827
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发表时间：
1994
期刊：
影响因子：
--
通讯作者：
Hiro Y. Toda
中科院分区：
文献类型：
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作者：
Hiro Y. Toda
本文研究了S. Johansen、P. Perron和J. Y. Campbell最近提出的“随机协整”的似然比检验的有限样本性质。作者将该模型转化为规范形式，并进行了全面的仿真研究。他发现，测试性能对过程的平稳根的值以及驱动过程的平稳和非平稳组件的创新之间的相关性非常敏感。不幸的是，模拟结果表明，对于典型的经济时间序列的样本量，这些渐近检验程序不是很强大。麻省理工学院出版社1994年版权所有。
This paper investigates the finite sample properties of likelihood ratio tests for 'stochastic cointegration' that have recently been proposed by S. Johansen and P. Perron and J. Y. Campbell. The author transforms the model into a canonical form and conducts a comprehensive simulation study. He finds that the test performance is very sensitive to the value of the stationary root(s) of the process and to the correlation between the innovations that drive the stationary and nonstationary components of the process. Unfortunately, the simulation results suggest that these asymptotic test procedures are not very powerful for sample sizes that are typical for economic time series. Copyright 1994 by MIT Press.