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On the robustness of cointegration tests when series are fractionally integrated [PDF]
Econometric Theory, 1996 This paper shows, analytically and numerically, the effects of a misspecification in the degree of integration on testing for cointegration. Johansen LR tests tend to find too much spurious cointegration while the Engle-Granger test shows a more robust ...
Gonzalo, Jesús, Lee, Tae-Hwy
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Comparison of Panel Cointegration Tests [PDF]
Economics Bulletin, 2007 The main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations.
Deniz Dilan Karaman Örsal
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The Power of Cointegration Tests. [PDF]
Oxford Bulletin of Economics and Statistics, 1992 A cointegration test statistic based upon estimation of an error correction model can be approximately normally distributed when no cointegration is present. By contrast, the equivalent Dickey-Fuller statistic applied to residuals from a static relationship has a non-standard asymptotic distribution. When cointegration exists, the error-correction test
Dolado, Juan José +2 more
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Combining non‐cointegration tests [PDF]
Journal of Time Series Analysis, 2012 The local power of many popular non‐cointegration tests has recently been shown to depend on a certain nuisance parameter. Depending on the value of that parameter, different tests perform best. This paper suggests combination procedures with the aim of providing meta tests that maintain high power across the range of the nuisance parameter.1 We ...
Bayer, Christian, Hanck, Christoph
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Garch effects on a test of cointegration [PDF]
Review of Quantitative Finance and Accounting, 1994 This article discusses the effects of GARCH type error processes on the use of the Engle and Granger cointegration test for two variables. Simulation results indicate that (nearly) integrated GARCH processes, as well as GARCH processes that are not covariance stationary, change the critical values.
Franses, Philip Hans +2 more
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Consistent Testing of Cointegrating Relationships [PDF]
Econometrica, 2004 In this paper we investigate methods for testing the existence of a cointegration relationship among the components of a nonstationary fractionally integrated (NFI) vector time series. Our framework generalizes previous studies restricted to unit root integrated processes and permits simultaneous analysis of spurious and cointegrated NFI vectors.
Francesc, Marmol, Velasco, Carlos
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Diagnostic testing for cointegration [PDF]
Journal of Econometrics, 2008 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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A note on the power of panel conitegration tests - An application to health care expenditure and GDP [PDF]
, 2016 This paper enlarges on Gutierrez's (2003) results on the power of panel cointegration tests. By a comparison of power of panel cointegration tests, we show how the choice of most powerful test depends on the values ...
MARINI, GIORGIA
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Études Caribéennes, 2012 April, 2011. The excitement in streets is the sign that a major event for the future of the country gets ready: Raoul Castro convened the meeting of the 6th congress of the Cuban Communist Party.
Jessica Mixhe
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Cointegration and Unit Root Tests: A Fully Bayesian Approach
Entropy, 2020 To perform statistical inference for time series, one should be able to assess if they present deterministic or stochastic trends. For univariate analysis, one way to detect stochastic trends is to test if the series has unit roots, and for multivariate ...
Marcio A. Diniz +2 more
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