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Size and Power of the Error Correction Model Cointegration Test. A Bootstrap Approach

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Author Info
Mantalos, Panagiotis
Shukur, Ghazi

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Abstract

The size and power of the ECM cointegration test are investigated by using the 'bootstrap critical values.' The purpose of this paper is to show the ability of the bootstrap technique to produce critical values which are much more accurate than the asymptotic ones. The properties of the test have been studied, using Monte Carlo methods, for three different data generating processes. As regards the size of the tests, the authors find that the ECM cointegration test together with the bootstrap critical values perform better than the ECM cointegration test based on the asymptotic critical values. While as regards the power of the tests, the results prove to be similar for the different versions. Copyright 1998 by Blackwell Publishing Ltd

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Publisher Info
Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 60 (1998)
Issue (Month): 2 (May)
Pages: 249-55
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Handle: RePEc:bla:obuest:v:60:y:1998:i:2:p:249-55

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049

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  1. Olli Castrén & Stéphane Dées & Fadi Zaher, 2008. "Global Macro-Financial Shocks and expected default frequencies in the Euro area," Working Paper Series 875, European Central Bank. [Downloadable!]
  2. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2007. "A Sieve Bootstrap Test for Cointegration in a Conditional Error Correction Model," Research Memoranda 054, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
  3. Miguel Arranz & Alvaro Escribano, 2006. "Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 15(1), pages 179-208, June. [Downloadable!] (restricted)
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