Table 2: Sizes and local powers of tests of the cointegration rank
|
(a) Empirical sizes | ||||
|
Я = |
10 |
Я = |
20 | |
|
T |
REG |
LLL |
REG |
LLL |
|
20 |
0.012 |
0.000 |
0.010 |
0.000 |
|
30 |
0.033 |
0.000 |
0.033 |
0.000 |
|
50 |
0.053 |
0.004 |
0.050 |
0.002 |
|
100 |
0.056 |
0.030 |
0.068 |
0.033 |
|
(b) Local powers (size adjusted) | ||||
|
Я = |
10 |
Я = |
20 | |
|
T |
REG |
LLL |
REG |
LLL |
|
20 |
0.242 |
0.150 |
0.240 |
0.143 |
|
30 |
0.221 |
0.150 |
0.227 |
0.148 |
|
50 |
0.186 |
0.141 |
0.206 |
0.153 |
|
100 |
0.164 |
0.146 |
0.169 |
0.166 |
Note: Rejection frequency for tests of the null hypothesis r = 1. “REG” indi-
cates the regression based test suggested in Theorem 2 and “LLL” denotes the
LR-bar statistic suggested by Lyhagen et al. (2001). The local power is com-
puted by simulating the data under the local alternative VNT = —10/ (T∖N).
The critical values are used that yield tests with an exact size of 0.05 under the
null hypothesis (size adjusted power). 5000 replications are used to compute
the rejection frequencies.
23
More intriguing information
1. The name is absent2. Innovation Trajectories in Honduras’ Coffee Value Chain. Public and Private Influence on the Use of New Knowledge and Technology among Coffee Growers
3. Natural Resources: Curse or Blessing?
4. Feature type effects in semantic memory: An event related potentials study
5. The name is absent
6. The Shepherd Sinfonia
7. A Note on Costly Sequential Search and Oligopoly Pricing (new title: Truly Costly Sequential Search and Oligopolistic Pricing,)
8. Correlates of Alcoholic Blackout Experience
9. Three Policies to Improve Productivity Growth in Canada
10. AGRICULTURAL TRADE LIBERALIZATION UNDER NAFTA: REPORTING ON THE REPORT CARD