摘要：This paper discusses pitfalls in the application of the rolling trace test. This procedure is based on the iterative calculation of Johansen's (1988) trace test for the rank of a cointegration system in windows of equal length that roll over the sample. Pitfalls lie in the selection of the window length and of the lag order for short-run coefficients as well as in the presence of stationary variables in some sub-periods. We give practical recommendations to solve these issues and demonstrate their implications when assessing the integration of four major European stock markets.
关键词：rolling cointegration; rolling trace test; rolling unit root test; lag selection; window selection; stock market integration
