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Maximum Eigenvalue Test for Seasonal Cointegrating Ranks *
Author(s) -
Seong Byeongchan,
Cho Sinsup,
Ahn Sung K.
Publication year - 2006
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/j.1468-0084.2006.00174.x
Subject(s) - mathematics , statistics , series (stratigraphy) , econometrics , monte carlo method , test (biology) , trace (psycholinguistics) , eigenvalues and eigenvectors , statistical hypothesis testing , physics , geology , paleontology , linguistics , philosophy , quantum mechanics
The maximum eigenvalue (ME) test for seasonal cointegrating ranks is presented using the approach of Cubadda [ Oxford Bulletin of Economics and Statistics (2001), Vol. 63, pp. 497–511], which is computationally more efficient than that of Johansen and Schaumburg [ Journal of Econometrics (1999), Vol. 88, pp. 301–339]. The asymptotic distributions of the ME test statistics are obtained for several cases that depend on the nature of deterministic terms. Monte Carlo experiments are conducted to evaluate the relative performances of the proposed ME test and the trace test, and we illustrate these tests using a monthly time series.