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

Bibliographic Details
Main Author: Gabriel, Vasco J.
Publication Date: 2003
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: https://hdl.handle.net/1822/6850
Summary: 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.
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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 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:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2024-05-11T07:20:48Zoai:repositorium.sdum.uminho.pt:1822/6850Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T16:23:48.750737Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
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:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
_version_ 1833595920434855936

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