Chapter

The Power Function of the Test for Cointegrating Rank Under Local Alternatives

Søren Johansen

in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Published in print December 1995 | ISBN: 9780198774501
Published online November 2003 | e-ISBN: 9780191596476 | DOI: http://dx.doi.org/10.1093/0198774508.003.0014

Series: Advanced Texts in Econometrics

 							The Power Function of the Test for Cointegrating Rank Under Local Alternatives

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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

Chapter.  4646 words. 

Subjects: Econometrics and Mathematical Economics

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