arXiv 11 Nov 2022 · Econometrics
arXiv:2211.06288 · PDF · DOI · OpenAlex · Extracted main text
This paper derives asymptotic theory for Breitung's (2002, Journal of Econometrics 108, 343-363) nonparameteric variance ratio unit root test when applied to regression residuals. The test requires neither the specification of the correlation structure in the data nor the choice of tuning parameters. Compared with popular residuals-based no-cointegration tests, the variance ratio test is less prone to size distortions but has smaller local asymptotic power. However, this paper shows that local asymptotic power properties do not serve as a useful indicator for the power of residuals-based no-cointegration tests in finite samples. In terms of size-corrected power, the variance ratio test performs relatively well and, in particular, does not suffer from power reversal problems detected for, e.g., the frequently used augmented Dickey-Fuller type no-cointegration test. An application to daily prices of cryptocurrencies illustrates the usefulness of the variance ratio test in practice.
appendix boundary found by appendix_command · 71% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Breitung (2002) Nonparametric Tests for Unit Roots and Cointegration | 1.000 | 21 | 4 | 100% |
| 2 | Pesavento (2007) Residuals-Based Tests for the Null of No-Cointegration: An Analytical Comparison | 1.000 | 14 | 4 | 100% |
| 3 | Perron and Rodrǵuez (2016) Residual-Based Tests for Cointegration with Generalized Least-Squares Detrended Data | 0.944 | 25 | 6 | 84% |
| 4 | Keilbar and Zhang (2021) On Cointegration and Cryptocurrency Dynamics | 0.874 | 5 | 2 | 100% |
| 5 | Perron and Qu (2007) A Simple Modification to Improve the Finite Sample Properties of Ng and Perron's Unit Root Tests | 0.811 | 5 | 2 | 80% |
| 6 | Nielsen (2009) A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic | 0.811 | 4 | 2 | 100% |
| 7 | Pesavento (2004) Analytical Evaluation of the Power of Tests for Absence of Cointegration | 0.811 | 4 | 2 | 100% |
| 8 | Phillips and Ouliaris (1990) Asymptotic Properties of Residual Based Tests for Cointegration | 0.737 | 4 | 2 | 75% |
| 9 | Ng and Perron (2001) Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power | 0.737 | 3 | 3 | 67% |
| 10 | Bykhovskaya and Gorin (2022) Asymptotics of Cointegration Tests for High-Dimensional VAR($k$) | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 41 scored citations.