Tests for Unit Roots: A Monte Carlo Investigation

The Overall F-tests for Seasonal Unit Roots under Nonstationary Alternatives: Some Theoretical Results and a Monte Carlo Investigation

Monte-Carlo Permutation Tests

The distribution of running time could be anything at all. We didnt even say whether it is continuous or discrete. Even so, the null hypothesis does induce a probability distribution on the test statistic without any other information. Specifically, it implies that the samples are indistinguishable and exchangeable. Our test statistic is a mean of 6 values (algorithm B running times) minus the ...

F versus t tests for unit roots

F tests which test jointly for a unit root and a zero intercept, and so compete against Dickey−Fuller t tests, are shown not to enhance power because they are invariant to the intercept value in the absence of a unit root. Monte Carlo results in the literature that indicate otherwise are shown to have resulted from the use of special starting values. Testing procedures that employ these F tests...

DEPARTMENT OF ECONOMETRICS AND BUSINESS STATISTICS A Monte Carlo Investigation of Some Tests for Stochastic Dominance

This paper compares the performance of several tests for stochastic dominance up to order three using Monte Carlo methods. The tests considered are the Davidson and Duclos (2000) test, the Anderson test (1996) and the Kaur, Rao and Singh (1994) test. Only unpaired samples of independent observations are considered, as this is a restriction for both the Anderson and Kaur-Rao-Singh tests. We find...

Residual-based tests for fractional cointegration: A Monte Carlo study

This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis of no cointegration. Critical values and the power of the tests under the alternative of fractional cointegration are simulated and compared. It turns out that the Phillips-Perron t-test when applied to regression residuals is more powerful than Geweke-Porter-Hudak tests and the Augmented Dickey...