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Abstract : This paper considers approximating the nite sample null-distribution of a test statistic as its asymptotic distribution under a local alternative. We focus on the Likelihood Ratio test for the rank of cointegration and use nonlinearities that represent some nite sample distributional features. Reliable approximations are obtained using a class of locally explosive models. An empirical evaluation of the concordance of European business cycles through cointegration shows that some standard corrections lead to underestimating the number of cointegrating relations and induce volatile results.
https://hal-essec.archives-ouvertes.fr/hal-00751925
Contributeur : Anne Crepin
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Soumis le : mercredi 14 novembre 2012 - 15:11:56
Dernière modification le : mercredi 4 mars 2015 - 11:45:07
Document(s) archivé(s) le : samedi 17 décembre 2016 - 10:30:20
Guillaume Chevillon. Local-Explosive Approximations to Null Distributions of the Johansen Cointegration Test, with an Application to Cyclical Concordance in the Euro Area. ESSEC Working paper. Document de Recherche ESSEC / Centre de recherche de l’ESSEC. ISSN : 1291-9616. WP 1210. 2012. 〈hal-00751925〉