2002-09-24Zeitschriftenartikel DOI: 10.18452/27794
On the Properties of Some Tests for Common Stochastic Trends
We study the asymptotic properties of the tests suggested by Choi and Ahn (1995, Econometric Theory 11, 952–983) in the case of a (nearly) improper normalization of the cointegration vectors. To overcome the size problems in such situations we suggest a test statistic that is based on the eigenvalues of a canonical correlation analysis. Using Monte Carlo simulations, the small sample properties of our test are compared to various other test statistics recently suggested in the literature.
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This publication is with permission of the rights owner freely accessible due to an Alliance licence and a national licence (funded by the DFG, German Research Foundation) respectively.