Article
Full entry |
PDF
(2.4 MB)
Feedback
PDF
(2.4 MB)
Feedback
Keywords:
integrated processes; Monte Carlo simulation
integrated processes; Monte Carlo simulation
Summary:
In this paper some of the cointegration tests applied to a single equation are compared. Many of the existent cointegration tests are simply extensions of the unit root tests applied to the residuals of the cointegrating regression and the habitual $H_{0}$ is no cointegration. However, some non residual-based tests and some tests of the opposite null hypothesis have recently appeared in literature. Monte Carlo simulations have been used for the power comparison of the nine selected tests ($ADF$, $\hat{Z}_{\alpha }$, $\hat{Z}_{t}$, $DHS$, $J1$, $H1$, $H2$, $C$, $LBI$) using several types of data generating processes.
References:
[Arsh93] B. Arshanapalli, J. Doukas: International stock market linkages: Evidence from the pre- and post-october 1987 period. Journal of Banking and Finance 17 (1993), 193–208.
[Choi92] I. Choi: Durbin-Hausman tests for cointegration. Journal of Economic Dynamics and Control 18 (1992), 467–480. MR 1264359
[Engl87] R.F. Engle, C.W.J. Granger: Co-integration and error correction: Representation, estimation and testing. Econometrica 55 (1987), 251–276. DOI 10.2307/1913236 | MR 0882095
[Fern94a] F.J. Fernández-Macho: Hausman-like and variance-ratio test statistics for the null of cointegration. Working paper D.T. 94/15, Dpto. de Econometría y Estadística, Universidad del País Vasco, Bilbao, 1994.
[Fern94b] F.J. Fernández-Macho, P. Mariel: Testing the null of cointegration: Hausman-like test for regressions with a unit root. Working paper D.T. 94/18, Dpto. de Econometría y Estadística, Universidad del País Vasco, Bilbao, 1994.
[Hald94] N. Haldrup: The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables. Journal of Econometrics 63 (1994), 153–181. DOI 10.1016/0304-4076(93)01564-3 | MR 1309981 | Zbl 0814.62075
[Hans92] B.E. Hansen: Tests for parameter instability in regressions with I(1) processes. Journal of Business and Economic Statistics 10 (1992), 321–335.
[Joha92] S. Johansen, K. Juselius: Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK. Journal of Econometrics 53 (1992), 211–244. DOI 10.1016/0304-4076(92)90086-7
[Kasa92] K.Kasa: Common stochastic trends in international stock markets. Journal of Monetary Economics 29 (1992), 95–124. DOI 10.1016/0304-3932(92)90025-W
[Krem92] J.J.M. Kremers, N.R. Ericsson, J.J. Dolado: The power of cointegration tests. Oxford Bulletin of Economics and Statistics 54 (1992), 325–348. DOI 10.1111/j.1468-0084.1992.tb00005.x
[Leyb93] S.J. Leybourne, B.P.M. McCabe: A simple test for cointegration. Oxford Bulletin of Economics and Statistics 56 (1994), 97–103. DOI 10.1111/j.1468-0084.1994.mp56001008.x
[Ngam91] Y. Ngama, S. Sosvilla-Rivero: An empirical examination of absolute purchasing power parity: Spain 1977–1988. Working paper 91-08, University of Birmingham, 1991.
[Park90] J.Y. Park: Testing for unit roots and cointegration by variable addition. In: Advances in Econometrics: Co-integration, Spurious Regressions and Unit Roots, T.B. Fomby and G.F. Rhodes, Greenwich, JAI Press, 1990, pp. 107–133.
[Phill86] P.C.B. Phillips, S.N. Durlauf: Multiple time series regression with integrated processes. Review of Economic Studies 53 (1986), 473–496. DOI 10.2307/2297602 | MR 0862077
[Phill90] P.C.B. Phillips, S. Ouliaris: Asymptotic properties of residual based tests for cointegration. Econometrica 58 (1990), 165–193. DOI 10.2307/2938339 | MR 1046923
[Saik91] P. Saikkonen: Asymptotically efficient estimation of cointegration regressions. Econometric Theory 7 (1991), 1–21. DOI 10.1017/S0266466600004217 | MR 1101209
[Shin93] Y. Shin: A residual-based test of the null of cointegration against the alternative of no cointegration. Econometric theory 10 (1994), 91–115. DOI 10.1017/S0266466600008240 | MR 1279692
Search
Partner of
