Inference in Codependence : Some Monte Carlo Results and Applications
AbstractIn this paper, we investigate through Monte Carlo simulations the behavior of the codependence testing procedure (Gouriéroux et Peaucelle ) in small samples and in various usual statistical situations. Our results suggest that, except for the pure MA(q) case, important power losses may occur. The simulation results are illustrated by an analysis of Okun's law conducted for the main OECD countries.
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Bibliographic InfoArticle provided by ENSAE in its journal Annals of Economics and Statistics.
Volume (Year): (1999)
Issue (Month): 54 ()
Other versions of this item:
- Michel Beine & Alain Hecq, 1999. "Inference in codependence: some Monte Carlo results and applications," ULB Institutional Repository 2013/10457, ULB -- Universite Libre de Bruxelles.
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- Candelon, Bertrand & Hecq, Alain & Verschoor, Willem F.C., 2005. "Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1317-1334, December.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2001. "Testing for Common Cyclical Features in Var Models with Cointegration," CESifo Working Paper Series 451, CESifo Group Munich.
- Alain W. HECQ, 2005. "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005 258, Society for Computational Economics.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series 248, CESifo Group Munich.
- Michel Beine & Bertrand Candelon & Alain Hecq, 2000. "Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach," Empirica, Springer, vol. 27(2), pages 115-132, June.
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