Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
复制标题
测试向量自回归过程的协整秩之前的趋势调整
DOI：
10.1111/1467-9892.00192
复制
发表时间：
2000
影响因子：
0.9
通讯作者：
H. Lutkepohl
中科院分区：
文献类型：
--
作者：
P. Saikkonen;H. Lutkepohl
检验的协整秩的向量自回归过程，可能有一个确定性的线性趋势被认为是。以前处理这种情况的建议是在计算适当的检验统计量时允许确定性趋势项，或者首先删除线性趋势，然后从趋势调整数据中导出检验统计量。在这项研究中，后一种方法被认为是一种新的趋势去除方法，提出了基于估计的趋势参数下的零假设。基于趋势调整数据推导出似然比和拉格朗日乘数类型检验统计量，并在零假设和局部替代项下考虑其渐近分布。与其他建议进行了仿真比较。
Testing the cointegrating rank of a vector autoregressive process that may have a deterministic linear trend is considered. Previous proposals for dealing with such a situation are either to allow for a deterministic trend term in computing a suitable test statistic or else to remove the linear trend first and then derive the test statistic from the trend‐adjusted data. In this study the latter approach is considered and a new method for trend removal is proposed that is based on estimating the trend parameters under the null hypothesis. Likelihood ratio and Lagrange multiplier type test statistics are derived on the basis of the trend‐adjusted data and their asymptotic distributions are considered under the null hypothesis and under local alternatives. A simulation comparison with other proposals is performed.