The Wold Representation, Degree of Non-Cointegration, and the Johansen Trace Test
Year: 2007
Type: preprint
Abstract: The empirical size and power properties of the Johansen vector autoregression based trace test for cointegration are considered in the case where the data is generated by a sequence of vector moving average processes with declining degrees of non-cointegration. Rejection frequencies are sensitive to the trade off between degrees of freedom in estimation and how well the fitted VAR model approximates the underlying VMA. Conventional null distributions can provide a poor basis for inference in this situation.
Source: SSRN Electronic Journal
Authors: Simon P. Burke, John E. Hunter
Institutions: University of Reading, Brunel University of London
Language: English
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1566392217