Before revision:  The asymptotic distributions of these test statistics are provided under both stationary and non-stationary noise assumptionsrespectively, and we empirically measure aggregate liquidity risks by these test statistics from 2006 to 2013.
After revision:  The asymptotic distributions of these test statistics are provided under both stationary and non-stationary assumptions, thereby enable us to conservatively control type-I errors and meanwhile ensure the proposed tests enjoy the asymptotically optimal statistical power. Besides it also enables us to empirically measure aggregate liquidity risks by these test statistics from 2006 to 2013.