Anmerkungen:
In: Quantitative and Qualitative Analysis in Social Sciences, Vol. 1, No. 3, pp. 21-39, 2007
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 5, 2007 erstellt
Beschreibung:
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