Advanced Search
MyIDEAS: Login

Testing for Cointegration in the Presence of Moving Average Errors

Contents:

Author Info

  • Mallory, M.
  • Lence, Sergio H.

Abstract

�This study explores performance of the Johansen cointegration statistics on data containingnegative moving average (NMA) errors. Monte Carlo experiments demonstrate that the asymptoticdistributions of the statistics are sensitive to NMA parameters, and that using the standard 5%asymptotic critical values results in severe underestimation of the actual test sizes. We demonstratethat problems associated with NMA errors do not decrease as sample size increases; instead,they become more severe. Further we examine evidence that many U.S. commodity prices arecharacterized by NMA errors. Pretesting data is recommended before using standard asymptoticcritical values for Johansen’s cointegration tests

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.econ.iastate.edu/sites/default/files/publications/papers/p16076-2012-12-31.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Iowa State University, Department of Economics in its series Staff General Research Papers with number 36076.

as in new window
Length:
Date of creation: 31 Dec 2012
Date of revision:
Publication status: Published in Journal of Time Series Econometrics 2012, vol. 4 no. 2
Handle: RePEc:isu:genres:36076

Contact details of provider:
Postal: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070
Phone: +1 515.294.6741
Fax: +1 515.294.0221
Email:
Web page: http://www.econ.iastate.edu
More information through EDIRC

Related research

Keywords: cointegration; Johansen cointegration test; moving average;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:isu:genres:36076. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stephanie Bridges) The email address of this maintainer does not seem to be valid anymore. Please ask Stephanie Bridges to update the entry or send us the correct address.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.