ON THE PROPERTIES OF SOME TESTS FOR COMMON STOCHASTIC TRENDS
研究了Choi和Ahn（1995）提出的协整向量归一化不当情况下的检验渐近性质，并提出基于典型相关分析特征值的检验统计量，通过蒙特卡洛模拟比较了小样本表现。
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.