Cointegration in large VARs

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Tác giả: Anna Bykhovskaya, Vadim Gorin

Ngôn ngữ: eng

Ký hiệu phân loại: 512.88 Algebra

Thông tin xuất bản: 2020

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Bộ sưu tập: Metadata

ID: 164738

Comment: 42 pages. V4: Journal version. To appear in Annals of StatisticsThe paper analyses cointegration in vector autoregressive processes (VARs) for the cases when both the number of coordinates, $N$, and the number of time periods, $T$, are large and of the same order. We propose a way to examine a VAR of order $1$ for the presence of cointegration based on a modification of the Johansen likelihood ratio test. The advantage of our procedure over the original Johansen test and its finite sample corrections is that our test does not suffer from over-rejection. This is achieved through novel asymptotic theorems for eigenvalues of matrices in the test statistic in the regime of proportionally growing $N$ and $T$. Our theoretical findings are supported by Monte Carlo simulations and an empirical illustration. Moreover, we find a surprising connection with multivariate analysis of variance (MANOVA) and explain why it emerges.
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