Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
研究了在弱线性或断裂趋势下协整检验的稳健性，发现趋势是否与协整向量正交对检验分布有重大影响，并将该方法应用于全球温度与人为温室气体辐射强迫的协整分析，提供了格兰杰因果关系的新证据。
Standard tests for the rank of cointegration of a vector autoregressive process present distributions that are affected by the presence of deterministic trends. We consider the recent approach of Demetrescu et al. (2009 Demetrescu, M., Lütkepohl, H., Saikkonen, P. (2009). Testing for the cointegrating rank of a vector autoregressive process with an uncertain deterministic trend term. Econometrics Journal 12:414–35.[Crossref], [Web of Science ®] , [Google Scholar]) who recommend testing a composite null. We assess this methodology in the presence of trends (linear or broken) whose magnitude is small enough not to be always detectable at conventional significance levels. We model them using local asymptotics and derive the properties of the test statistics. We show that whether the trend is orthogonal to the cointegrating vector has a major impact on the distributions but that the test combination approach remains valid. We apply of the methodology to the study of cointegration properties between global temperatures and the radiative forcing of human gas emissions. We find new evidence of Granger Causality.