On The Size And Power Of System Tests For Cointegration
AbstractSystem tests for cointegration proposed by Stock and Watson (1988), Johansen (1988), and Bewley and Yang (1995) are compared using Monte Carlo experiments that include overspecification of the lag length and data-generating processes with moving average disturbances. Both AIC and SIC are used to select the lag length of the approximating vector autoregressions. The three tests considered are found to have very different characteristics, and each dominates in some portion of the parameter space. © 1998 by the President and Fellows of Harvard College and the Massachusetts Institute of Technolog
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Bibliographic InfoArticle provided by MIT Press in its journal The Review of Economics and Statistics.
Volume (Year): 80 (1998)
Issue (Month): 4 (November)
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Other versions of this item:
- Bewley, R. & Yang, M., 1996. "On the Size and Power of System Tests for Cointegration," Papers 96/9, New South Wales - School of Economics.
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
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