European Business Schools Librarian's Group
ESSEC Working Papers,
ESSEC Research Center, ESSEC Business School
No WP1320: Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming
Guillaume Chevillon ()
Additional contact information
Guillaume Chevillon: ESSEC Business School, Postal: Avenue Bernard Hirsch - B.P. 50105, 95021 CERGY-PONTOISE Cedex, FRANCE
Abstract: Standard tests for the rank of cointegration of a vector autoregressive process present distributions that are affected by the presence of deterministic trends. We consider the recent approach of Demetrescu et al. (2009) who recommend testing a composite null. We assess this methodology in the presence of trends (linear or broken) whose magnitude is small enough not to be detectable at conventional significance levels. We model them using local asymptotics and derive the properties of the test statistics. We show that whether the trend is orthogonal to the cointegrating vector has a major impact on the distributions but that the test combination approach remains valid. We apply of the methodology to the study of cointegration properties between global temperatures and the radiative forcing of human gas emissions. We find new evidence of Granger Causality.
Keywords: Cointegration; Deterministic trend; Likelihood ratio; Local trends; Global Warming
40 pages, November 2013
Full text files
WP1320.pdf
Questions (including download problems) about the papers in this series should be directed to Sophie Magnanou ()
Report other problems with accessing this service to Sune Karlsson ().
RePEc:ebg:essewp:dr-13020This page generated on 2024-10-19 15:41:33.