Subsampling the Johansen test with stable innovations

Chen, P; Hsiao, C

Subsampling the Johansen test with stable innovations

Chen, P Hsiao, C

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Publisher:: Blackwell Publishing Ltd
Publication Type:: Journal Article
Citation:: Australian & New Zealand Journal of Statistics, 2010, 52 (1), pp. 61 - 73
Issue Date:: 2010-01

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Field	Value	Language
dc.contributor.author	Chen, P	en_US
dc.contributor.author	Hsiao, C	en_US
dc.date.issued	2010-01	en_US
dc.identifier.citation	Australian & New Zealand Journal of Statistics, 2010, 52 (1), pp. 61 - 73	en_US
dc.identifier.issn	1369-1473	en_US
dc.identifier.uri	http://hdl.handle.net/10453/14016
dc.description.abstract	By taking into account the thick-tail property of the errors, cointegration analysis in vector error-correction models with infinite-variance stable errors is a natural generalization of cointegration analysis in error-correction models with normally distributed errors. We study the Johansen test for cointegrated systems under symmetric stable innovations with discrete spectral measures. The results show that the distributions of the Johansen test statistics under these innovations involve nuisance parameters. To overcome the problem of nuisance parameters, we implement a nonparametric subsampling procedure. We document some subsampling simulation results and demonstrate in an empirical example how the test can be used in practice.	en_US
dc.publisher	Blackwell Publishing Ltd	en_US
dc.relation.ispartof	Australian & New Zealand Journal of Statistics	en_US
dc.relation.isbasedon	10.1111/j.1467-842X.2009.00566.x	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	Subsampling the Johansen test with stable innovations	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	52	en_US
utslib.for	0104 Statistics	en_US
utslib.for	1403 Econometrics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	1	en_US
pubs.volume	52	en_US

Abstract:

By taking into account the thick-tail property of the errors, cointegration analysis in vector error-correction models with infinite-variance stable errors is a natural generalization of cointegration analysis in error-correction models with normally distributed errors. We study the Johansen test for cointegrated systems under symmetric stable innovations with discrete spectral measures. The results show that the distributions of the Johansen test statistics under these innovations involve nuisance parameters. To overcome the problem of nuisance parameters, we implement a nonparametric subsampling procedure. We document some subsampling simulation results and demonstrate in an empirical example how the test can be used in practice.

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http://hdl.handle.net/10453/14016