Tests for Cointegration Based on Canonical Correlation Analysis
作者:
Ronald Bewley,
Minxian Yang,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1995)
卷期:
Volume 90,
issue 431
页码: 990-996
ISSN:0162-1459
年代: 1995
DOI:10.1080/01621459.1995.10476600
出版商: Taylor & Francis Group
关键词: Maximum likelihood;Monte Carlo;Unit roots;Vector autoregression
数据来源: Taylor
摘要:
Critical values are provided for four new tests for cointegration based on the canonical correlations and variates of a development of the Box-Tiao procedure. It is found that in finite samples the power of three of these tests, unlike the power of Johansen's and Engle and Yoo's tests, is highly robust to the correlation between the disturbances in the cointegrating relationships and those generating the common trends. The proposed tests perform well against these alternatives, but neither set of tests dominates over the entire parameter space.
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