Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses

Odaki Mitsuhiro

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Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses

机译：替代假设下基于向量自回归近似的协整秩检验

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This paper discusses cointegration rank tests based on finite lag-order vector autoregressive approximations under alternative hypotheses. We obtain a uniform divergence rate for the test statistics and discuss several implications regarding the power of the tests. (C) 2015 Elsevier B.V. All rights reserved.

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《Economics letters》 |2015年第11期|187-189|共3页
作者
Odaki Mitsuhiro;
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作者单位

Hiroshima Univ, Dept Econ, Higashihiroshima 7398525, Japan;

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正文语种 eng
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Cointegration rank tests; Finite lag-order vector autoregressive approximations; Alternative hypotheses; Divergence rate;

机译：协整秩检验;有限滞后向量自回归逼近;替代假设;发散率;

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1. Johansen cointegration rank tests under local alternative hypotheses when related drift or linear trend is not dependent upon sample size in VARs [J] . Odaki Mitsuhiro, Li Min Communications in Statistics . 2019,第22a24期

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2. Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank [J] . Hallin Marc, van den Akker Ramon, Werker Bas J. M. Journal of Econometrics . 2016,第1期

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3. BOOTSTRAP TESTING OF HYPOTHESES ON CO-INTEGRATION RELATIONS IN VECTOR AUTOREGRESSIVE MODELS [J] . Cavaliere Giuseppe, Nielsen Heino Bohn, Rahbek Anders Econometrica . 2015,第2期

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4. A robust autoregressive gaussian process motion model using l1-norm based low-rank kernel matrix approximation [C] . Kim Eunwoo, Choi Sungjoon, Oh Songhwai IEEE/RSJ International Conference on Intelligent Robots and Systems . 2014

机译：基于l 1 -范数的低秩核矩阵逼近的鲁棒自回归高斯过程运动模型
5. ON THE EXACT POWER FUNCTIONS OF SOME RANK TESTS FOR THE TREND ALTERNATIVE. [D] . OPRIAN, CHARLES ALLEN. 1970

机译：关于趋势替代的某些等级测试的精确幂函数。
6. Rank based cointegration testing for dynamic panels with fixed T [O] . Artūras Juodis -1

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7. Optimal Pseudo-Gaussian and Rank-Based Tests of the Cointegration Rank in Semiparametric Error-Correction Models [O] . Marc Hallin, Ramon Van den Akker, Bas J. M. Werker 2015

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8. Approximations to the Distributions of the Likelihood Ratio Statistics for Testing the Hypotheses on Covariance Matrices and Mean Vectors Simultaneously, [R] . chang, t. c. krishnaiah, p. r. 1975

机译：用于同时测试协方差矩阵和平均向量假设的似然比统计量分布的近似，

Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses

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