TESTS FOR COINTEGRATION BASED ON CANONICAL CORRELATION-ANALYSIS

被引：12

作者：

BEWLEY, R

YANG, MX

机构：

来源：

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION | 1995年 / 90卷 / 431期

关键词：

MAXIMUM LIKELIHOOD; MONTE CARLO; UNIT ROOTS; VECTOR AUTOREGRESSION;

D O I：

10.2307/2291335

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Critical values are provided for four new tests for cointegration based on the canonical correlations and variates of a development of the Box-Tiao procedure. It is found that in finite samples the power of three of these tests, unlike the power of Johansen's and Engle and Y'oo's tests, is highly robust to the correlation between the disturbances in the cointegrating relationships and those generating the common trends. The proposed tests perform well against these alternatives; but neither set of tests dominates over entire parameter space.

引用

页码：990 / 996

页数：7

共 26 条

[1]

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[2] COMPARISON OF BOX-TIAO AND JOHANSEN CANONICAL ESTIMATORS OF COINTEGRATING VECTORS IN VEC(1) MODELS [J].