Testing linear restrictions on cointegrating vectors: Sizes and powers of Wald tests in nite samples
نویسنده
چکیده
The Wald test for linear restrictions on cointegrating vectors is compared in nite samples using the Monte Carlo method. The Wald test within the vector error-correction based methods of Bewley et al. fully modiied ordinary least squares method of Phillips and Hansen (1990), and the band spectral techniques of Phillips (1991) are considered. In terms of test size, Jo-hansen's method seems to be preferred, and in terms of test power it is Park's and Phillips'. However, the relatively poor results in the context of cointegrating regressions suggest that improvements on the performance of the Wald tests considered here are needed.
منابع مشابه
A Wald test of restrictions on the cointegrating space based on Johansen ’ s estimator *
A test is derived of the hypothesis that the cointegrating space of a collection of I(1) variables contains a vector subject to a set of linear restrictions. Applications to the problem of testing for irreducible cointegrating relations, and also structural hypotheses, are discussed. 1998 Elsevier Science S.A.
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