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Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions
向量自回归中协整秩似然比检验的有限样本表现
This paper investigates through Monte Carlo simulation the finite sample properties of likelihood ratio tests for cointegrating ranks that were proposed by Johansen (1991, Econometrica 59, 1551–1580). We transform the model into a canonical form so that the experiment is well controlled without loss of generality and then conduct a comprehensive simulation study. As expected, the test performance is very sensitive to the value of the stationary root(s) of the process. We…
Statistical inference in vector autoregressions with possibly integrated processes
Finite Sample Properties of Likelihood Ratio Tests for Cointegrating Ranks when Linear Trends are Present
存在线性趋势时协整秩似然比检验的有限样本性质
This paper investigates the finite sample properties of likelihood ratio tests for 'stochastic cointegration' that have recently been proposed by S. Johansen and P. Perron and J. Y. Campbell. The author transforms the model into a canonical form and conducts a comprehensive simulation study. He finds that the test performance is very sensitive to the value of the stationary root(s) of the process and to the correlation between the innovations that drive the stationary and…
Vector Autoregressions and Causality
向量自回归与因果性
A limit theory for Wald tests of Granger causality in levels vector autoregressions (VAR's) and error correction models (ECM's) is developed, which allows for stochastic trends and cointegration. Earlier work is extended to the general case, thereby characterizing when these Wald tests are asymptotically valid as 'x'(superscript 2) criteria. Our results for inference from unrestricted levels VAR are not encouraging: the limit theory often involves nuisance parameters and…
The spurious effect of unit roots on vector autoregressions
单位根对向量自回归的伪影响
This paper analyzes whether inclusion of a statistically independent random walk in a vector autoregression can result in spurious inference. The problem was raised originally by Ohanian (1988). In a Monte Carlo simulation based on the VAR's estimated by Sims (1980, 1982), Ohanian found that ‘block exogeneity’ of the genuine variables with respect to an artificially generated random walk variable was rejected too often. In the present paper we attempt a full analytical study…