Maximum Eigenvalue versus Trace Tests for the Cointegrating Rank of a VAR Process
Maximum Eigenvalue versus Trace Tests for the Cointegrating Rank of a VAR Process
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VAR 过程协整等级的最大特征值与迹检验
DOI：
10.1111/1368-423x.00068
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发表时间：
2001
影响因子：
1.9
通讯作者：
Carsten Trenkler
中科院分区：
文献类型：
--
作者：
H. Lütkepohl;P. Saikkonen;Carsten Trenkler
比较了向量自回归过程协整秩的最大特征值范围和迹检验的性质。这些测试是相似性比率类型测试，并在关于数据生成过程的确定性部分的不同假设下运行。给出了局部替代下的渐近分布，并导出了局部幂。发现相应的最大特征值和迹检验的局部功率非常相似。然而，蒙特卡罗比较表明，在小样本中可能会有轻微的差异。迹检验往往有更多的扭曲的大小，而他们的权力是在某些情况下，上级的最大特征值检验。
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 alilikelihood ratio 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 slight differences in small sampies. The trace tests tend to have more distorted sizes whereas their power is in some situations superior to that of the maximum eigenvalue tests.