This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the familiar Gaussian basedtests of Johansen, we also consider tests based on non-Gaussianquasi-likelihoods. Moreover, we compare the performance of these parametrictests with tests...

This paper provides a continuous record interpretation of the block local to unity asymptotics proposed recentlyby Phillips, Moon and Xiao (2001). It also demonstrates that in the case of homogeneous dynamics and a fixednumber of blocks, the new asymptotic approximation coincides with the...

We investigate covariance matrix estimation in vast-dimensional spaces of 1,500 up to 2,000 stocks using fundamental factor models (FFMs). FFMs are the typical benchmark in the asset management industry and depart from the usual statistical factor models and the factor models with observed...

This paper considers Lagrange Multiplier (LM) tests for determining the cointegrating rank of a vector autoregressive system. In order to deal with outliers and possible fat-tailedness of the error process, non-Gaussian like-lihoods are used to carry out the estimation. The limiting...

The maximum likelihood estimator based on Student's t distribution is generally thought to be robust to outliers in the regression errors. This paper shows that this is true if the degrees of freedom parameter is kept fixed. In contrast, if the degrees of freedom parameter is also estimated from...

We derive formulae for the asymptotic density and distribution functions of the t-statistic for autoregressive unit roots based on M-estimators. The distribution depends upon a nuisance parameter. Consequently, new critical values for this test have to be generated for each new estimator that is...