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. Female Empowerment: Impact of a Commitment Savings Product in the Philippines
3. The name is absent
4. Regulation of the Electricity Industry in Bolivia: Its Impact on Access to the Poor, Prices and Quality
5. Business Cycle Dynamics of a New Keynesian Overlapping Generations Model with Progressive Income Taxation
6. The name is absent
7. The name is absent
8. Fiscal Rules, Fiscal Institutions, and Fiscal Performance
9. Weather Forecasting for Weather Derivatives
10. Workforce or Workfare?