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On the empirical size of Nielsen's multivariate likelihood ratio test of fractional integration

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Abstract:

Nielsen (2004) provides multivariate maximum likelihood procedures to test whether several series are fractionally integrated. This note examines the finite sample size of the likelihood ratio tests applied to a bivariate system experiencing breaks in means. The results suggest that tests of a common unit root are somewhat undersized in small samples.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840701721638

Affiliations: School of Business, Queens University, Goodes Hall, Kingston, Ontario, Canada

Publication date: May 1, 2010

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