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
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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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- Wagner, Martin, 1999. "VAR Cointegration in VARMA Models," Economics Series 65, Institute for Advanced Studies.
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- Elena Pesavento, 2005. "Residuals Based Tests for the Null of No Cointegration: An Analytical Comparison," Emory Economics 0503, Department of Economics, Emory University (Atlanta).
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- Par Osterholm, 2004. "Size properties of cointegration tests in misspecified systems," Applied Economics Letters, Taylor and Francis Journals, vol. 11(15), pages 919-924.
- Pesavento, Elena, 2004. "Analytical evaluation of the power of tests for the absence of cointegration," Journal of Econometrics, Elsevier, vol. 122(2), pages 349-384, October.
- Österholm, Pär, 2003. "Testing for Cointegration in Misspecified Systems –A Monte Carlo Study of Size Distortions," Working Paper Series 2003:21, Uppsala University, Department of Economics.
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