Tests for the null hypothesis of cointegration : a Monte Carlo Comparison

Detalhes bibliográficos
Autor(a) principal: Gabriel, Vasco J.
Data de Publicação: 2003
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://hdl.handle.net/1822/6850
Resumo: 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 found that the parametrically adjusted test of McCabe et al. (1997) is the most well-balanced test, displaying good power and relatively few size distortions.
id RCAP_18d2d8cb0d5cc9b1556755e0523eeed0
oai_identifier_str oai:repositorium.sdum.uminho.pt:1822/6850
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Tests for the null hypothesis of cointegration : a Monte Carlo ComparisonCointegrationTestsMonte CarloThe 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 found that the parametrically adjusted test of McCabe et al. (1997) is the most well-balanced test, displaying good power and relatively few size distortions.The author wishes to thank Luis Martins, Haris Psaradakis, Ron Smith, and three anonymous referees for their valuable comments. The usual disclaimer applies. Financial support from the Sub-Programa Ciência e Tecnologia do Segundo Quadro Comunitário de Apoio, grant number PRAXIS/XXI/BD/16141/98 and from the Research Unit in Economic Policy – NIPE is gratefully acknowledged.Taylor and FrancisUniversidade do MinhoGabriel, Vasco J.2003-012003-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/1822/6850engVasco J. Gabriel (2003) Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison, Econometric Reviews, 22:4, 411-435, DOI: 10.1081/ETC-1200258970747-49381532-416810.1081/ETC-120025897http://www.informaworld.com/smpp/title~content=t713597248info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-21T12:49:01Zoai:repositorium.sdum.uminho.pt:1822/6850Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:47:24.766146Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Tests for the null hypothesis of cointegration : a Monte Carlo Comparison
title Tests for the null hypothesis of cointegration : a Monte Carlo Comparison
spellingShingle Tests for the null hypothesis of cointegration : a Monte Carlo Comparison
Gabriel, Vasco J.
Cointegration
Tests
Monte Carlo
title_short Tests for the null hypothesis of cointegration : a Monte Carlo Comparison
title_full Tests for the null hypothesis of cointegration : a Monte Carlo Comparison
title_fullStr Tests for the null hypothesis of cointegration : a Monte Carlo Comparison
title_full_unstemmed Tests for the null hypothesis of cointegration : a Monte Carlo Comparison
title_sort Tests for the null hypothesis of cointegration : a Monte Carlo Comparison
author Gabriel, Vasco J.
author_facet Gabriel, Vasco J.
author_role author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Gabriel, Vasco J.
dc.subject.por.fl_str_mv Cointegration
Tests
Monte Carlo
topic Cointegration
Tests
Monte Carlo
description 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 found that the parametrically adjusted test of McCabe et al. (1997) is the most well-balanced test, displaying good power and relatively few size distortions.
publishDate 2003
dc.date.none.fl_str_mv 2003-01
2003-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/1822/6850
url https://hdl.handle.net/1822/6850
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Vasco J. Gabriel (2003) Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison, Econometric Reviews, 22:4, 411-435, DOI: 10.1081/ETC-120025897
0747-4938
1532-4168
10.1081/ETC-120025897
http://www.informaworld.com/smpp/title~content=t713597248
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor and Francis
publisher.none.fl_str_mv Taylor and Francis
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799133046993059840

Registros relacionados