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1997-07-14Buch DOI: 10.18452/3835
Local Power of Likelihood Ratio Tests for the Cointegrating Rank of a VAR Process
dc.contributor.authorSaikkonen, Pentti
dc.contributor.authorLütkepohl, Helmut
dc.date.accessioned2017-06-15T22:17:42Z
dc.date.available2017-06-15T22:17:42Z
dc.date.created2006-06-07
dc.date.issued1997-07-14
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4487
dc.description.abstractLikelihood ratio (LR) tests for the cointegrating rank of a vector autoregressive (VAR) process have been developed under different assumptions regarding deterministic terms. For instance, nonzero mean terms and linear trends have been accounted for in some of the tests. In this paper we provide a general framework for deriving the local power properties of these tests. Thereby it is possible to assess the virtue of utilizing varying amounts of prior information by making assumptions regarding the deterministic terms. One interesting result from this analysis is that if no assumptions regarding the specic form of the mean term are made while a linear trend is excluded then a test is available which has the same local power as an LR test derived under a zero mean assumption.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc330 Wirtschaft
dc.titleLocal Power of Likelihood Ratio Tests for the Cointegrating Rank of a VAR Process
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10064417
dc.identifier.doihttp://dx.doi.org/10.18452/3835
dc.subject.dnb17 Wirtschaft
local.edoc.pages29
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year1997
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber1997,58

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