Portal de Periódicos da CAPES

THE POWER OF COINTEGRATION TESTS

1992; Wiley; Volume: 54; Issue: 3 Linguagem: Inglês

10.1111/j.1468-0084.1992.tb00005.x

1468-0084

Jeroen Kremers, Neil R. Ericsson, Juan J. Dolado,

Fiscal Policies and Political Economy

Oxford Bulletin of Economics and StatisticsVolume 54, Issue 3 p. 325-348 THE POWER OF COINTEGRATION TESTS Jeroen J. M. Kremers, Jeroen J. M. Kremers Ministry of Finance, The Hague, and Erasmus University, Rotterdam The Netherlands International Finance Division, Federal Reserve Board, Washington DC Research Department, Bank of Spain, MadridSearch for more papers by this authorNeil R. Ericsson, Neil R. Ericsson Ministry of Finance, The Hague, and Erasmus University, Rotterdam The Netherlands International Finance Division, Federal Reserve Board, Washington DC Research Department, Bank of Spain, MadridSearch for more papers by this authorJuan J. Dolado, Juan J. Dolado Ministry of Finance, The Hague, and Erasmus University, Rotterdam The Netherlands International Finance Division, Federal Reserve Board, Washington DC Research Department, Bank of Spain, Madrid This paper represents the views of the authors and should not be interpreted as reflecting those of the Dutch Ministry of Finance, the Board of Governors of the Federal Reserve System, the Bank of Spain, or other members of their staff. This paper was prepared in part while the second and third authors were visiting INSEE and CEPREMAP, who we thank for generous hospitality. We are grateful to Javier Andrés, Anindya Banerjee, Julia Campos, Christian Gourieroux, David Hendry, Søren Johansen, Augustín Maravall, Alain Monfort, Mark Salmon, Jim Stock, and Hong-Anh Tran for helpful discussions, and to Lisa Barrow and Rafael Domenech for research assistance. All numerical results were obtained using PC-NAIVE and PC-GIVE Version 6.01; cf. Hendry and Neale (1990) and Hendry (1989).Search for more papers by this author Jeroen J. M. Kremers, Jeroen J. M. Kremers Ministry of Finance, The Hague, and Erasmus University, Rotterdam The Netherlands International Finance Division, Federal Reserve Board, Washington DC Research Department, Bank of Spain, MadridSearch for more papers by this authorNeil R. Ericsson, Neil R. Ericsson Ministry of Finance, The Hague, and Erasmus University, Rotterdam The Netherlands International Finance Division, Federal Reserve Board, Washington DC Research Department, Bank of Spain, MadridSearch for more papers by this authorJuan J. Dolado, Juan J. Dolado Ministry of Finance, The Hague, and Erasmus University, Rotterdam The Netherlands International Finance Division, Federal Reserve Board, Washington DC Research Department, Bank of Spain, Madrid This paper represents the views of the authors and should not be interpreted as reflecting those of the Dutch Ministry of Finance, the Board of Governors of the Federal Reserve System, the Bank of Spain, or other members of their staff. This paper was prepared in part while the second and third authors were visiting INSEE and CEPREMAP, who we thank for generous hospitality. We are grateful to Javier Andrés, Anindya Banerjee, Julia Campos, Christian Gourieroux, David Hendry, Søren Johansen, Augustín Maravall, Alain Monfort, Mark Salmon, Jim Stock, and Hong-Anh Tran for helpful discussions, and to Lisa Barrow and Rafael Domenech for research assistance. All numerical results were obtained using PC-NAIVE and PC-GIVE Version 6.01; cf. Hendry and Neale (1990) and Hendry (1989).Search for more papers by this author First published: August 1992 https://doi.org/10.1111/j.1468-0084.1992.tb00005.xCitations: 636 AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL REFERENCES Banerjee, A., Dolado, J. J., Galbraith, J. W. and Hendry, D. F. (1992). Co-integration, Error-Correction and the Econometric Analysis of Non-stationary Data, Oxford University Press, forthcoming. Banerjee, A., Dolado, J. J., Hendry, D. F. and Smith, G. W. (1986). 'Exploring Equilibrium Relationships in Econometrics Through Static Models: Some Monte Carlo Evidence', BULLETIN, Vol. 48, pp. 253– 77. Billingsley, P. (1968). Convergence of Probability Measures, John Wiley and Sons, New York. Campos, J. and Ericsson, N. R. (1988). ' Econometric Modeling of Consumers' Expenditure in Venezuela', International Finance Discussion Paper No. 325, Board of Governors of the Federal Reserve System, Washington, DC. Davidson, J. E. H., Hendry, D. F., Srba, F. and Yeo, S. (1978). 'Econometric Modelling of the Aggregate Time-series Relationship between Consumers' Expenditure and Income in the United Kingdom', Economic Journal, Vol. 88, pp. 661– 92. Dickey, D. A. and Fuller, W. A. (1979). 'Distribution of the Estimators for Autoregressive Time Series with a Unit Root', Journal of the American Statistical Association, Vol. 74, pp. 427– 31. Dickey, D. A. and Fuller, W. A. (1981). 'Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root', Econometrica, Vol. 49, pp. 1057– 72. Dolado, J. J., Ericsson, N. R. and Kremers, J. J. M. (1989). ' Inference in Conditional Dynamic Models with Integrated Variables', Paper presented at the European Meeting of the Econometric Society, Munich, Germany, September. Engle, R. F. and Granger, C. W. J. (1987). 'Co-integration and Error Correction: Representation, Estimation, and Testing', Econometrica, Vol. 55, pp. 251– 76. Engle, R. F., Hendry, D. F. and Richard, J.-F. (1983). 'Exogeneity', Econometrica, Vol. 51, pp. 277– 304. Ericsson, N. R., Campos, J. and Tran, H.-A. (1991). ' PC-GIVE and David Hendry's Econometric Methodology', International Finance Discussion Paper No. 406, Board of Governors of the Federal Reserve System, Washington, DC; Revista de Econometria, forthcoming. Fuller, W. A. (1976). Introduction to Statistical Time Series, John Wiley and Sons, New York. Granger, C. W. J. (1983). ' Forecasting White Noise' in A. Zellner (ed.), Applied Time Series Analysis of Economic Data, Bureau of the Census, Washington, DC. Hendry, D. F. (1989). PC-GIVE: An Interactive Econometric Modelling System, Version 6.0/6.01, Oxford, Institute of Economics and Statistics and Nuffield College, University of Oxford. Hendry, D. F. and Ericsson, N. R. (1991a). 'An Econometric Analysis of U.K. Money Demand in Monetary Trends in the United States and the United Kingdom by Milton Friedman and Anna J. Schwartz', American Economic Review, Vol. 81, pp. 8– 38. Hendry, D. F. and Ericsson, N. R. (1991b). 'Modeling the Demand for Narrow Money in the United Kingdom and the United States', European Economic Review, Vol. 35, pp. 833– 81. Hendry, D. F. and Mizon, G. E. (1978). 'Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England', Economic Journal, Vol. 88, pp. 549– 63. Hendry, D. F., Muellbauer, J. N. J. and Murphy, A. (1990). ' The Econometrics of DHSY', Chapter 13 in J. D. Hey and D. Winch (eds.), A Century of Economics: 100 Years of the Royal Economic Society and the Economic Journal, Basil Blackwell, Oxford. Hendry, D. F. and Neale, A. J. (1990). PC-NAIVE: An Interactive Program for Monte Carlo Experimentation in Econometrics, Version 6.01, Oxford, Institute of Economics and Statistics and Nuffield College, University of Oxford. Hendry, D. F. and Richard, J.-F. (1982). 'On the Formulation of Empirical Models in Dynamic Econometrics', Journal of Econometrics, Vol. 20, pp. 3– 33. Johansen, S. (1988). 'Statistical Analysis of Cointegration Vectors', Journal of Economic Dynamics and Control, Vol. 12, pp. 231– 54. Johansen, S. (1989). ' The Power Function of the Likelihood Ratio Test for Cointegration', Preprint No. 1989:8, Institute of Mathematical Statistics, University of Copenhagen, Copenhagen, Denmark. Johansen, S. (1991). 'Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models', Econometrica, Vol. 59, No. 6, pp. 1551– 80. Johansen, S. (1992a). 'Cointegration in Partial Systems and the Efficiency of Single-equation Analysis', Journal of Econometrics, Vol. 52, pp. 389– 402. Johansen, S. (1992b). 'Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data', Journal of Policy Modeling, Vol. 14, pp. 313– 34. Johansen, S. and Juselius, K. (1990a). 'Maximum Likelihood Estimation and Inference on Cointegration — With Applications to the Demand for Money', BULLETIN, Vol. 52, pp. 169– 210. Johansen, S. and Juselius, K. (1990b). ' Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UK', Preprint No. 1990:1, Institute of Mathematical Statistics, University of Copenhagen, Copenhagen, Denmark; Journal of Econometrics, forthcoming. Kadane, J. B. (1970). 'Testing Overidentifying Restrictions When the Disturbances Are Small', Journal of the American Statistical Association, Vol. 65, pp. 182– 85. Kadane, J. B. (1971). 'Comparison of k-Class Estimators When the Disturbances Are Small', Econometrica, Vol. 39, pp. 723– 37. Kremers, J. J. M. (1988). 'Long-run Limits on the US Federal Debt', Economics Letters, Vol. 28, pp. 259– 62. Kremers, J. J. M. (1989). 'U.S. Federal Indebtedness and the Conduct of Fiscal Policy', Journal of Monetary Economics, Vol. 23, pp. 219– 38. Kremers, J. J. M., Ericsson, N. R. and Dolado, J. J. (1992). ' The Power of Cointegration Tests', International Finance Discussion Paper No. 431, Board of Governors of the Federal Reserve System, Washington, DC. MacKinnon, J. G. (1991). ' Critical Values for Cointegration Tests', Chapter 13, in R. F. Engle and C. W. J. Granger (eds.), Long-Run Economic Relationships: Readings in Cointegration, Oxford University Press, Oxford. Mann, H. B. and Wald, A. (1943). 'On Stochastic Limit and Order Relationships', Annals of Mathematical Statistics, Vol. 14, pp. 217– 26. Nymoen, R. (1992). 'Finnish Manufacturing Wages 1960–1987: Real-wage Flexibility and Hysteresis', Journal of Policy Modeling, Vol. 14. Phillips, P. C. B. (1986). 'Understanding Spurious Regressions in Econometrics', Journal of Econometrics, Vol. 33, pp. 311– 40. Phillips, P. C. B. (1987a). 'Time Series Regression with a Unit Root', Econometrica, Vol. 55, pp. 277– 301. Phillips, P. C. B. (1987b). 'Towards a Unified Asymptotic Theory for Autoregression', Biometrika, Vol. 74, pp. 535– 47. Phillips, P. C. B. (1988). 'Regression Theory for Near-integrated Time Series', Econometrica, Vol. 56, pp. 1021– 43. Phillips, P. C. B. and Durlauf, S. N. (1986). 'Multiple Time Series Regression with Integrated Processes', Review of Economic Studies, Vol. 53, pp. 473– 95. Phillips, P. C. B. and Park, J. Y. (1988). 'Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions with Integrated Regressors', Journal of the American Statistical Association, Vol. 83, pp. 111– 15. Phillips, P. C. B. and Perron, P. (1988). 'Testing for a Unit Root in Time Series Regression', Biometrika, Vol. 75, pp. 335– 46. Sargan, J. D. (1964). ' Wages and Prices in the United Kingdom: A Study in Econometric Methodology', in P. E. Hart, G. Mills and J. K. Whitaker (eds.), Econometric Analysis for National Economic Planning, Colston Papers, Vol. 16, Butterworths, London, 25– 63 (with discussion); reprinted in Hendry, D. F. and Wallis, K. F. (eds.) (1984) Econometrics and Quantitative Economics, Basil Blackwell, Oxford. Sargan, J. D. (1980). 'Some Tests of Dynamic Specification for a Single Equation', Econometrica, Vol. 48, pp. 879– 97. Sargan, J. D. and Bhargava, A. (1983). 'Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk', Econometrica, Vol. 51, pp. 153– 74. Stock, J. H. and Watson, M. W. (1988). 'Testing for Common Trends', Journal of the American Statistical Association, Vol. 83, pp. 1097– 1107. White, H. (1984). Asymptotic Theory for Econometricians, Academic Press, Orlando, Florida. Citing Literature Volume54, Issue3August 1992Pages 325-348 ReferencesRelatedInformation