On the Size and Power of System Tests for Cointegration
AbstractIt is argued that size distortions and power properties of likelihood based tests for cointegration are so poor in many small sample situstions that alternative are necessary for analysing typical macroeconomic relationships.
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Bibliographic InfoPaper provided by New South Wales - School of Economics in its series Papers with number 96/9.
Length: 19 pages
Date of creation: 1996
Date of revision:
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Postal: THE UNIVERSITY OF NEW SOUTH WALES, SCHOOL OF ECONOMICS, P.O.B. 1 KENSINGTON, NEW SOUTH WALES 2033 AUSTRALIA.
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Web page: http://www.economics.unsw.edu.au/
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COINTEGRATION; TESTS; SAMPLING;
Other versions of this item:
- Ronald Bewley & Minxian Yang, 1998. "On The Size And Power Of System Tests For Cointegration," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 675-679, November.
- 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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- Dietmar Maringer & Peter Winker, 2004. "Optimal Lag Structure Selection in VEC-Models," Computing in Economics and Finance 2004 155, Society for Computational Economics.
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