| Title:
|
A comparison of cointegration tests (English) |
| Author:
|
Mariel, Petr |
| Language:
|
English |
| Journal:
|
Applications of Mathematics |
| ISSN:
|
0862-7940 (print) |
| ISSN:
|
1572-9109 (online) |
| Volume:
|
41 |
| Issue:
|
6 |
| Year:
|
1996 |
| Pages:
|
411-431 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| 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. (English) |
| Keyword:
|
integrated processes |
| Keyword:
|
Monte Carlo simulation |
| MSC:
|
62E25 |
| MSC:
|
62J05 |
| MSC:
|
62M10 |
| MSC:
|
65C05 |
| idZBL:
|
Zbl 0870.62066 |
| idMR:
|
MR1415249 |
| DOI:
|
10.21136/AM.1996.134335 |
| . |
| Date available:
|
2009-09-22T17:52:38Z |
| Last updated:
|
2020-07-28 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/134335 |
| . |
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| . |
