Test for the null hypothesis of cointegration with reduced size distortion
نویسندگان
چکیده
منابع مشابه
Test for the null hypothesis of cointegration with reduced size distortion
This paper considers a single equation cointegrating model and proposes the locally best invariant and unbiased (LBIU) test for the null hypothesis of cointegration. We derive the asymptotic local power functions and compare them with the standard residualbased test, and we show that the LBIU test is more powerful in a wide range of local alternatives. Then, we conduct a Monte Carlo simulation ...
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15 صفحه اولTests 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