Test for the null hypothesis of cointegration with reduced size distortion

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Test for the null hypothesis of cointegration with reduced size distortion

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Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison

The aim of this paper is to compare the relative performance of several tests for the null hypothesis of cointegration, in terms of size and power in finite samples. This is carried out using Monte Carlo simulations for a range of plausible data-generating processes. We also analyze the impact on size and power of choosing different procedures to estimate the long run variance of the errors. We...

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ژورنال

عنوان ژورنال: Journal of Time Series Analysis

سال: 2008

ISSN: 0143-9782,1467-9892

DOI: 10.1111/j.1467-9892.2007.00564.x