- Title Pages
- Preface
- Preface to Second Printing
- Epigraph
- 1 Introduction
- 2 The Vector Autoregressive Model
- 3 Basic Definitions and Concepts
- 4 Cointegration and Representation of Integrated Variables
- 5 The <i>I</i>(1) Models and Their Interpretation
- 6 The Statistical Analysis of <i>I</i> (1) Models
- 7 Hypothesis Testing for the Long‐Run Coefficients β
- 8 Partial Systems and Hypotheses on α
- 9 The <i>I</i>(2) Model and a Test for <i>I</i>(2)
- 10 Probability Properties of <i>I</i> (1) Processes
- 11 The Asymptotic Distribution of the Test for Cointegrating Rank
- 12 Determination of Cointegrating Rank
- 13 Asymptotic Properties of the Estimators
- 14 The Power Function of the Test for Cointegrating Rank Under Local Alternatives
- 15 Simulations and Tables
- Some Mathematical Results
- Weak Convergence of Probability Measures on R<sup>p</sup> and C[0,1]
- References
- Subject Index
- Author Index
The Power Function of the Test for Cointegrating Rank Under Local Alternatives
The Power Function of the Test for Cointegrating Rank Under Local Alternatives
- Chapter:
- (p.201) 14 The Power Function of the Test for Cointegrating Rank Under Local Alternatives
- Source:
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Author(s):
Søren Johansen (Contributor Webpage)
- Publisher:
- Oxford University Press
The local power of the trace test is given for local alternatives. The results use the formulation of local alternatives and near integrated processes as formulated by Phillips. The limit process is an Ornstein–Uhlenbeck process.
Keywords: local alternatives, local power, near integrated processes, Ornstein–Uhlenbeck, trace test
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- Title Pages
- Preface
- Preface to Second Printing
- Epigraph
- 1 Introduction
- 2 The Vector Autoregressive Model
- 3 Basic Definitions and Concepts
- 4 Cointegration and Representation of Integrated Variables
- 5 The <i>I</i>(1) Models and Their Interpretation
- 6 The Statistical Analysis of <i>I</i> (1) Models
- 7 Hypothesis Testing for the Long‐Run Coefficients β
- 8 Partial Systems and Hypotheses on α
- 9 The <i>I</i>(2) Model and a Test for <i>I</i>(2)
- 10 Probability Properties of <i>I</i> (1) Processes
- 11 The Asymptotic Distribution of the Test for Cointegrating Rank
- 12 Determination of Cointegrating Rank
- 13 Asymptotic Properties of the Estimators
- 14 The Power Function of the Test for Cointegrating Rank Under Local Alternatives
- 15 Simulations and Tables
- Some Mathematical Results
- Weak Convergence of Probability Measures on R<sup>p</sup> and C[0,1]
- References
- Subject Index
- Author Index
