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英文文献：Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model-VAR模型中协整秩的改进似然比检验
英文文献作者：H. Peter Boswijk,Michael Jansson,Morten ?rregaard Nielsen
英文文献摘要：
We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of course the asymptotic results apply more generally. The power gains relative to existing tests are due to two factors. First, instead of basing our tests on the conditional (with respect to the initial observations) likelihood, we follow the recent unit root literature and base our tests on the full likelihood as in, e.g., Elliott, Rothenberg, and Stock (1996). Secondly, our tests incorporate a ?sign?restriction which generalizes the one-sided unit root test. We show that the asymptotic local power of the proposed tests dominates that of existing cointegration rank tests.
我们建议改进的检验协整秩在向量自回归(VAR)模型和发展渐近分布理论和局部幂次结果。该测试是基于高斯似然的(拟)似然比测试，但当然渐近结果应用更广泛。相对于现有测试的功率增益来自两个因素。首先，我们的测试不是基于条件似然(相对于最初的观察)，而是遵循最近的单位根文献，并将我们的测试基于全部似然，如Elliott、Rothenberg和Stock(1996)。其次，我们的测试包含了一个?限制，推广了单边单位根检验。证明了所提检验的渐近局部幂优于已有的协整秩检验的渐近局部幂。
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