{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,3]],"date-time":"2026-10-03T08:39:33Z","timestamp":1791016773946,"version":"4.1.0"},"reference-count":22,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2009,2,11]],"date-time":"2009-02-11T00:00:00Z","timestamp":1234310400000},"content-version":"unspecified","delay-in-days":4882,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1995,10]]},"abstract":"<jats:p>This paper investigates through Monte Carlo simulation the finite sample properties of likelihood ratio tests for cointegrating ranks that were proposed by Johansen (1991, <jats:italic>Econometrica<\/jats:italic> 59, 1551\u20131580). We transform the model into a canonical form so that the experiment is well controlled without loss of generality and then conduct a comprehensive simulation study. As expected, the test performance is very sensitive to the value of the stationary root(s) of the process. We also find that the test performance depends crucially on the correlation between the innovations that drive the stationary and the nonstationary components of the process. We conclude that 100 observations are not sufficient to ensure reasonably good performance uniformly over the values of the nuisance parameters that affect the distributions of the test statistics.<\/jats:p>","DOI":"10.1017\/s0266466600009956","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T15:40:44Z","timestamp":1236699644000},"page":"1015-1032","source":"Crossref","is-referenced-by-count":108,"title":["Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions"],"prefix":"10.1017","volume":"11","author":[{"given":"Hiro Y.","family":"Toda","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S0266466600009956_ref021","doi-asserted-by":"publisher","DOI":"10.2307\/2109827"},{"key":"S0266466600009956_ref020","volume-title":"Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions","author":"Toda","year":"1993"},{"key":"S0266466600009956_ref019","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1992.tb00113.x"},{"key":"S0266466600009956_ref011","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1990.mp52002003.x"},{"key":"S0266466600009956_ref009","doi-asserted-by":"publisher","DOI":"10.2307\/2938278"},{"key":"S0266466600009956_ref008","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(88)90041-3"},{"key":"S0266466600009956_ref007","volume-title":"Testing for Cointegration in Linear Quadratic Models","author":"Gregory","year":"1991"},{"key":"S0266466600009956_ref005","doi-asserted-by":"publisher","DOI":"10.2307\/2951602"},{"key":"S0266466600009956_ref001","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1990.10474945"},{"key":"S0266466600009956_ref003","first-page":"141","volume-title":"NBER Macroeconomics Annual 1991","author":"Campbell","year":"1991"},{"key":"S0266466600009956_ref014","volume-title":"Inference in Cointegrated Models using VAR Prewhitening to Estimate Shortrun Dynamics","author":"Park","year":"1991"},{"key":"S0266466600009956_ref013","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1992.tb00013.x"},{"key":"S0266466600009956_ref015","volume-title":"Unidentified Components in Reduced Rank Regression Estimation of ECM's","author":"Phillips","year":"1991"},{"key":"S0266466600009956_ref002","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02410.x"},{"key":"S0266466600009956_ref010","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1992.tb00008.x"},{"key":"S0266466600009956_ref017","volume-title":"Testing Misspecified Cointegrating Relationships","author":"Podivinsky","year":"1991"},{"key":"S0266466600009956_ref012","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950050404"},{"key":"S0266466600009956_ref018","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(92)90093-E"},{"key":"S0266466600009956_ref004","doi-asserted-by":"publisher","DOI":"10.1016\/0014-2921(91)90042-H"},{"key":"S0266466600009956_ref016","doi-asserted-by":"publisher","DOI":"10.2307\/2951476"},{"key":"S0266466600009956_ref022","doi-asserted-by":"publisher","DOI":"10.1080\/07474939408800286"},{"key":"S0266466600009956_ref006","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)90044-2"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600009956","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,13]],"date-time":"2019-05-13T20:41:28Z","timestamp":1557780088000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600009956\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1995,10]]},"references-count":22,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1995,10]]}},"alternative-id":["S0266466600009956"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600009956","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1995,10]]}}}