TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
研究了带截距的向量自回归过程中协整秩的检验，提出一种基于不同方式估计确定性项趋势参数的新检验方法，并通过模拟发现其比传统似然比检验更有效。
Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius (1990, Oxford Bulletin of Economics and Statistics , 52, 169–210) and others we also consider an alternative class of tests that is based on estimating the trend parameters of the deterministic term in a different way. The asymptotic local power of these tests is derived and compared to that of the corresponding LR tests. The small sample properties are investigated by simulations. The new tests are seen to be substantially more powerful than conventional LR tests.