On the empirical size of Nielsen's multivariate likelihood ratio test of fractional integration

Nielsen (2004) provides multivariate maximum likelihood procedures to test whether several series are fractionally integrated. This note examines the finite sample size of the likelihood ratio tests applied to a bivariate system experiencing breaks in means. The results suggest that tests of a common unit root are somewhat undersized in small samples.

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Year of publication:	2010
Authors:	Sephton, P. S.
Published in:	Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 42.2010, 13, p. 1671-1679
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008498796