Tests for the null hypothesis of cointegration: a Monte Carlo comparison
Autor(a) principal: | |
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Data de Publicação: | 2001 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/1822/1439 |
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 resorting to Monte Carlo simulations, considering a range of plausible data-generating processes. As of this writing, there is no study providing guidance on the use of this type of procedures in empirical situations, with the exception of the limited studies of McCabe et al. (1997) and Haug (1996). We also analyse 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 in terms of power and size distrortions. |
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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 resorting to Monte Carlo simulations, considering a range of plausible data-generating processes. As of this writing, there is no study providing guidance on the use of this type of procedures in empirical situations, with the exception of the limited studies of McCabe et al. (1997) and Haug (1996). We also analyse 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 in terms of power and size distrortions.Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)Universidade do MinhoGabriel, Vasco J.2001-022001-02-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/1439enginfo: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:RCAAP2023-07-21T12:32:16Zoai:repositorium.sdum.uminho.pt:1822/1439Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:27:34.856780Repositório 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 resorting to Monte Carlo simulations, considering a range of plausible data-generating processes. As of this writing, there is no study providing guidance on the use of this type of procedures in empirical situations, with the exception of the limited studies of McCabe et al. (1997) and Haug (1996). We also analyse 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 in terms of power and size distrortions. |
publishDate |
2001 |
dc.date.none.fl_str_mv |
2001-02 2001-02-01T00:00:00Z |
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 |
http://hdl.handle.net/1822/1439 |
url |
http://hdl.handle.net/1822/1439 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
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 |
Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
publisher.none.fl_str_mv |
Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
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 |
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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 |
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1799132767179505664 |