Heteroscedasticity Consistent Inference on the Cointegration Rank in Vector Error Correction Models
Heteroscedasticity Consistent Inference on the Cointegration Rank in Vector Error Correction Models
- 한국계량경제학회
- 한국계량경제학회 학술대회 논문집
- 2009년 하계학술대회
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2009.081 - 29 (29 pages)
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This paper considers statistical inference on the cointegration rank in vector error correction models, which is robust to heteroscedastic errors. As the likelihood ratio (LR) statistic assumes identically distributed errors, we develop the Lagrange multiplier (LM) and Wald statistics for the cointegration rank using the heteroscedasticity robust covariance estimator. The asymptotic distributions of the LM and Wald statistics follow the nonstandard distribution, which has been found by Johansen (1991). Simulation evidence indicates that the proposed tests improve the performance of the cointegration rank test.
1 Introduction
2 The Test Statistics
3 Main Results
4 Models with Deterministic Trends
5 Simulation Evidence
6 Economic Application
7 Concluding Remarks
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