Likelihood Ratio Tests for Cointegration, Cobreaking and Cotrending
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 Impact
Tests control the size over a bigger parameter space while maintaining proper power.
Use of FutureGrid
Running Metlab complied executables for high throughput computing.
Scale Of Use
Thousands of cores for periods of days.
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