Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics
提出一种基于完全修正残差的拉格朗日乘子检验，用于检验分数协整模型中的协整零假设，并通过蒙特卡洛模拟和七种主要货币兑美元汇率的实证分析验证其性质。
AbstractA Lagrange multiplier test of the null hypothesis of cointegration in fractionally cointegrated models is proposed. The test statistic uses fully modified residuals to cancel the endogeneity and serial correlation biases, and standard asymptotic properties apply under the null and under local alternatives. With iid Gaussian errors, the asymptotic Gaussian power envelope of all (unbiased) tests is achieved by the one-sided (two-sided) test. The finite-sample properties are illustrated by a Monte Carlo study. In an application to the dynamics among exchange rates for seven major currencies against the U.S. dollar, mixed evidence of the existence of a cointegrating relation is found.KEY WORDS: Cointegration testFully modified estimationNonstationarityOptimal testPower envelope