Cointegration Testing Using Pseudolikelihood Ratio Tests
Keyword(s):
This paper considers pseudomaximum likelihood estimators for vector autoregressive models. These estimators are used to determine the cointegration rank of a multivariate time series process using pseudolikelihood ratio tests. The asymptotic distributions of these tests depend on nuisance parameters if the pseudolikelihood is non-Gaussian. This even holds if the likelihood is correctly specified. The nuisance parameters have a natural interpretation and can be consistently estimated. Some simulation results illustrate the usefulness of the tests: non-Gaussian pseudolikelihood ratio tests generally have a higher power than the Gaussian test of Johansen if the innovations demonstrate leptokurtic behavior.
2014 ◽
Vol 46
(4)
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pp. 1138-1148
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1986 ◽
2003 ◽
Vol 13
(3)
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pp. 211-237
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