Maximum Eigenvalue Test for Seasonal Cointegrating Ranks*
提出季节性协整秩的最大特征值检验，计算效率高于现有方法，通过蒙特卡洛实验比较其与迹检验的表现，并用月度数据示例。
Abstract The maximum eigenvalue (ME) test for seasonal cointegrating ranks is presented using the approach of Cubadda [ Oxford Bulletin of Economics and Statistics (2001), Vol. 63, pp. 497–511], which is computationally more efficient than that of Johansen and Schaumburg [ Journal of Econometrics (1999), Vol. 88, pp. 301–339]. The asymptotic distributions of the ME test statistics are obtained for several cases that depend on the nature of deterministic terms. Monte Carlo experiments are conducted to evaluate the relative performances of the proposed ME test and the trace test, and we illustrate these tests using a monthly time series.