A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests
AbstractThis paper provides an extensive Monte-Carlo comparison of several contemporary cointegration tests. Apart from the familiar Gaussian based tests of Johansen, we also consider tests based on non-Gaussian quasi-likelihoods. Moreover, we compare the performance of these parametric tests with tests that estimate the score function from the data using either kernel estimation or semi-nonparametric density approximations. The comparison is completed with a fully nonparametric cointegration test. In small samples, the overall performance of the semi-nonparametric approach appears best in terms of size and power. The main cost of the semi-nonparametric approach is the increased computation time. In large samples and for heavily skewed or multimodal distributions, the kernel based adaptive method dominates. For near-Gaussian distributions, however, the semi-nonparametric approach is preferable again.
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Bibliographic InfoPaper provided by VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics in its series Serie Research Memoranda with number 0062.
Date of creation: 1998
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cointegration testing; adaptive estimation; nonparametrics; semi-nonparametrics; Monte-Carlo simulation;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-03-14 (All new papers)
- NEP-ECM-2002-03-27 (Econometrics)
- NEP-ETS-2002-03-14 (Econometric Time Series)
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