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Small Sample Properties of Canonical Cointegrating Regressions

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  • Han, Hsiang-Ling
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    Abstract

    Monte Carlo simulations are performed to examine small sample properties of Canonical Cointegrating Regressions (CCR). The first data generation process is designed to generate both cointegrated and non-cointegrated systems with normal disturbances. If the near-observational equivalence of the stationary and the integrated processes is not significant, both powers and empirical sizes of CCR tests are acceptable. The second data generation process is based on the error correction model. Cointegrated systems with various fat-tailed disturbances are generated and analyzed. The empirical sizes of CCR tests with student "t" disturbances and GARCH disturbances are found to be reasonable under certain restrictions The last data generation process is a generalized least squares (GLS) process that incorporates heteroskedasticity into the error correction model. Again, the empirical sizes of CCR tests are reasonable.

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    Bibliographic Info

    Article provided by Springer in its journal Empirical Economics.

    Volume (Year): 21 (1996)
    Issue (Month): 2 ()
    Pages: 235-53

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    Handle: RePEc:spr:empeco:v:21:y:1996:i:2:p:235-53

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    Cited by:
    1. Han, Hsiang-Ling, 2000. "Choice of currency basket weights and its implications on trade balance," International Review of Economics & Finance, Elsevier, vol. 9(4), pages 323-350, October.
    2. Elena Márquez de la Cruz, 2005. "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 455-481, September.
    3. Okubo, Masakatsu, 2002. "Long-Run Relationship between Consumption and Income in Japan: Tests of the Deterministic Cointegration Restriction," Journal of the Japanese and International Economies, Elsevier, vol. 16(2), pages 253-278, June.
    4. Han, Hsiang-Ling & Ogaki, Masao, 1997. "Consumption, income and cointegration," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 107-117.

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