This paper compares the finite sample performance of alternative tests for rank-dficiency of a submatrix of the cointegrating matrix. The paper focuses on the (implementation of the) likelihood ratio test proposed in Paruolo (2007, Oxford Bulletin of Economics and Statistics), and compares its...

This paper addresses the problem of measuring the speed of adjustment of exchange rates and relative prices to purchasing power parity (PPP), in the multivariate context of Vector Autoregressive Processes (VAR). We consider the speed of adjustment of one variable y in response to another...

This paper discusses the Monte Carlo (MC) design of Gaussian Vector Au- toregressive processes (VAR) for the evalutation of invariant statistics. We focus on the case of cointegrated (CI) I(1) processes, linear and invertible trans- formations and CI rank likelihood ratio (LR) tests. It is found...