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Stochastic Analysis and Applications 27 (2009) 24-50

TESTING THE COINTEGRATING RANK WHEN THE ERRORS ARE UNCORRELATED BUT NONINDEPENDENT

Hamdi Raissi 1

(01/01/2009)

We study the asymptotic behaviour of the reduced rank estimator of the cointegrating space and adjustment space for vector error correction time series models with nonindependent innovations. It is shown that the distribution of the adjustment space can be quite different for models with iid innovations and models with nonindependent innovations. It is also shown that the likelihood ratio test remains valid when the assumption of iid Gaussian errors is relaxed. Monte Carlo experiments illustrate the finite sample performance of the likelihood ratio test using various kinds of weak error processes.

1 :	Institut de Recherche Mathématique de Rennes (IRMAR)
	CNRS : UMR6625 – Université de Rennes 1 – École normale supérieure de Cachan - ENS Cachan – Institut National des Sciences Appliquées (INSA) : - RENNES – Université de Rennes II - Haute Bretagne

Domaine

:

Statistiques/Applications Statistiques/Méthodologie

Mots Clés : Cointegration – reduced rank regression – likelihood ratio test – strong mixing condition – vector error correction model

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Contributeur : Hamdi Raissi <>

Soumis le : Lundi 13 Septembre 2010, 15:10:34

Dernière modification le : Vendredi 19 Novembre 2010, 15:23:27