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ON THE PROPERTIES OF SOME TESTS FOR COMMON STOCHASTIC TRENDS

Published online by Cambridge University Press:  24 September 2002

Jörg Breitung
Affiliation:
Humboldt University Berlin, Institute of Statistics and Econometrics
Carsten Trenkler
Affiliation:
Humboldt University Berlin, Institute of Statistics and Econometrics

Abstract

We study the asymptotic properties of the tests suggested by Choi and Ahn (1995, Econometric Theory 11, 952–983) in the case of a (nearly) improper normalization of the cointegration vectors. To overcome the size problems in such situations we suggest a test statistic that is based on the eigenvalues of a canonical correlation analysis. Using Monte Carlo simulations, the small sample properties of our test are compared to various other test statistics recently suggested in the literature.

Type
Research Article
Copyright
© 2002 Cambridge University Press

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ON THE PROPERTIES OF SOME TESTS FOR COMMON STOCHASTIC TRENDS
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