Likelihood Ratio Tests for Cointegration, Cobreaking and Cotrending

Project Information

Discipline
Economics (903) 
Orientation
Research 
Abstract

Proposed a set of likelihood ratio tests for cointegration, cobreaking, and cotrending. Most existing tests are designed for only one of these common features with making strong assumptions on the others. Tests deal with all three common features at the same time in a unified framework. Consequently, tests control the size over a bigger parameter space while maintaining proper power.

Intellectual Merit

We propose a set of likelihood ratio tests for cointegration, cobreaking, and cotrending. Most existing tests are designed for only one of these common features with making strong assumptions on the others. Our tests deal with all three common features at the same time in a unified framework.

Broader Impacts

Tests control the size over a bigger parameter space while maintaining proper power.

Project Contact

Project Lead
Katherine Holcomb (kholcomb) 
Project Manager
Katherine Holcomb (kholcomb) 

Resource Requirements

Hardware Systems
  • alamo (Dell optiplex at TACC)
  • hotel (IBM iDataPlex at U Chicago)
  • india (IBM iDataPlex at IU)
  • sierra (IBM iDataPlex at SDSC)
 
Use of FutureGrid

Running Metlab complied executables for high throughput computing.

Scale of Use

Thousands of cores for periods of days.

Project Timeline

Submitted
07/02/2013 - 16:19 
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