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Article: Alternative Asymptotics For Cointegration Tests In Large Vars
Title | Alternative Asymptotics For Cointegration Tests In Large Vars |
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Authors | |
Keywords | canonical correlations cointegration tests empirical distribution High-dimensional VAR Wachter distribution |
Issue Date | 2018 |
Publisher | Econometric Society: Econometrica. The Journal's web site is located at https://www.econometricsociety.org/publications/econometrica/aims-and-scope |
Citation | Econometrica: journal of the Econometric Society, 2018, v. 86 n. 4, p. 1465-1478 How to Cite? |
Abstract | Johansen's (1988,1991) likelihood ratio test for cointegration rank of a vector autoregression (VAR) depends only on the squared sample canonical correlations between current changes and past levels of a simple transformation of the data. We study the asymptotic behavior of the empirical distribution of those squared canonical correlations when the number of observations and the dimensionality of the VAR diverge to infinity simultaneously and proportionally. We find that the distribution weakly converges to the so‐called Wachter distribution. This finding provides a theoretical explanation for the observed tendency of Johansen's test to find “spurious cointegration.” |
Persistent Identifier | http://hdl.handle.net/10722/259494 |
ISSN | 2023 Impact Factor: 6.6 2023 SCImago Journal Rankings: 17.701 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Onatski, A | - |
dc.contributor.author | Wang, C | - |
dc.date.accessioned | 2018-09-03T04:08:38Z | - |
dc.date.available | 2018-09-03T04:08:38Z | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | Econometrica: journal of the Econometric Society, 2018, v. 86 n. 4, p. 1465-1478 | - |
dc.identifier.issn | 0012-9682 | - |
dc.identifier.uri | http://hdl.handle.net/10722/259494 | - |
dc.description.abstract | Johansen's (1988,1991) likelihood ratio test for cointegration rank of a vector autoregression (VAR) depends only on the squared sample canonical correlations between current changes and past levels of a simple transformation of the data. We study the asymptotic behavior of the empirical distribution of those squared canonical correlations when the number of observations and the dimensionality of the VAR diverge to infinity simultaneously and proportionally. We find that the distribution weakly converges to the so‐called Wachter distribution. This finding provides a theoretical explanation for the observed tendency of Johansen's test to find “spurious cointegration.” | - |
dc.language | eng | - |
dc.publisher | Econometric Society: Econometrica. The Journal's web site is located at https://www.econometricsociety.org/publications/econometrica/aims-and-scope | - |
dc.relation.ispartof | Econometrica: journal of the Econometric Society | - |
dc.rights | The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org/. | - |
dc.subject | canonical correlations | - |
dc.subject | cointegration tests | - |
dc.subject | empirical distribution | - |
dc.subject | High-dimensional VAR | - |
dc.subject | Wachter distribution | - |
dc.title | Alternative Asymptotics For Cointegration Tests In Large Vars | - |
dc.type | Article | - |
dc.identifier.email | Wang, C: stacw@hku.hk | - |
dc.identifier.authority | Wang, C=rp02404 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.3982/ECTA14649 | - |
dc.identifier.scopus | eid_2-s2.0-85054320883 | - |
dc.identifier.hkuros | 288614 | - |
dc.identifier.volume | 86 | - |
dc.identifier.issue | 4 | - |
dc.identifier.spage | 1465 | - |
dc.identifier.epage | 1478 | - |
dc.identifier.isi | WOS:000440548700010 | - |
dc.publisher.place | United Kingdom | - |
dc.identifier.issnl | 0012-9682 | - |