Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year :

Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming

(1)
1

Abstract

Standard tests for the rank of cointegration of a vector autoregressive process present distributions that are affected by the presence of deterministic trends. We consider the recent approach of Demetrescu et al. (2009) who recommend testing a composite null. We assess this methodology in the presence of trends (linear or broken) whose magnitude is small enough not to be detectable at conventional significance levels. We model them using local asymptotics and derive the properties of the test statistics. We show that whether the trend is orthogonal to the cointegrating vector has a major impact on the distributions but that the test combination approach remains valid. We apply of the methodology to the study of cointegration properties between global temperatures and the radiative forcing of human gas emissions. We find new evidence of Granger Causality.
Fichier principal
Vignette du fichier
WP1320.pdf (1.14 Mo) Télécharger le fichier
Origin : Publisher files allowed on an open archive
Loading...

Dates and versions

hal-00914830 , version 1 (06-12-2013)

Identifiers

  • HAL Id : hal-00914830 , version 1

Cite

Guillaume Chevillon. Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming. 2013. ⟨hal-00914830⟩

Collections

ESSEC ESSEC-WP
138 View
419 Download

Share

Gmail Facebook Twitter LinkedIn More