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Details van artikel 117 van 176 gevonden artikelen
| Titel: |
Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods |
| Auteur: |
Lucas, Andre |
| Verschenen in: |
Econometric reviews |
| Paginering: | Jaargang 17 (1998) nr. 2 pagina's 185-214 |
| Jaar: |
1998 |
| Inhoud: |
This paper considers Lagrange Multiplier (LM) and Likelihood Ratio (LR) tests for determining the cointegrating rank of a vector autoregressive system. n order to deal with outliers and possible fat-tailedness of the error process, non-Gaussian likelihoods are used to carry out the estimation. The limiting distributions of the tests based on these non-Gaussian pseudo-)likelihoods are derived. These distributions depend on nuisance parameters. An operational procedure is proposed to perform inference. It appears that the tests based on non-Gaussian pseudo-likelihoods are much more powerful than their Gaussian counterparts if the errors are fat-tailed. Moreover, the operational LM-type test has a better overall performance than the LR-type test. Copyright O 1998 by Marcel Dekker, Inc. |
| Uitgever: |
Taylor & Francis |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 117 van 176 gevonden artikelen
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