Boswijk, Herman Peter; Jansson, Michael; Nielsen, … - 2012
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 … local power of the proposed tests dominates that of existing cointegration rank tests. -- Cointegration rank ; efficiency …