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

$54.78 plus tax (Refund Policy)

Buy Article:


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

More about this publication?
Related content

Share Content

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
Cookie Policy
ingentaconnect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more