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Cointegration in Small Samples: Empirical Percentiles, Drifting Moments and Customized Testing


  • Blangiewicz, Maria
  • Charemza, Wojciech W


Empirical distributions of the studentized Augmented Dicky-Fuller cointegration statistic for data generated by simulation are analyzed for small samples. Empirical 1 percent, 5 percent and 10 percent fractiles are tabulated for various sample sizes and various numbers of regressors. It is found that means, standard deviation, moment coefficients of skewness and moment coefficients of kurtosis can be approximated by a function of an inverse of the sample size. A more precise technique of testing cointegration in small samples is suggested, which requires formulating a separate simulation model for generating critical values of a cointegration for particular empirical models. This is exemplified by testing cointegration in a model describing the black market foreign exchange rate for Poland. Copyright 1990 by Blackwell Publishing Ltd

Suggested Citation

  • Blangiewicz, Maria & Charemza, Wojciech W, 1990. "Cointegration in Small Samples: Empirical Percentiles, Drifting Moments and Customized Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(3), pages 303-315, August.
  • Handle: RePEc:bla:obuest:v:52:y:1990:i:3:p:303-15

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    References listed on IDEAS

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    1. Kim, Byung Yeon, 1997. "Soviet Household Saving Function," Economic Change and Restructuring, Springer, vol. 30(2-3), pages 181-203.
    2. Hooker, Mark A., 2000. "Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 583-600, August.
    3. Haug, Alfred A., 1996. "Tests for cointegration a Monte Carlo comparison," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 89-115.
    4. Yusuf, Sina A. & Yusuf, W.A., 2008. "Determinants of Selected Agricultural Export Crops in Nigeria: An Ecm Approach," 2007 Second International Conference, August 20-22, 2007, Accra, Ghana 52181, African Association of Agricultural Economists (AAAE).
    5. Nyoni, Timothy S., 1998. "Foreign Aid and Economic Performance in Tanzania," World Development, Elsevier, vol. 26(7), pages 1235-1240, July.
    6. Bruno Caprettini, 2008. "Finance and the Diffusion of Digital Technologies," Rivista di Politica Economica, SIPI Spa, vol. 98(6), pages 79-122, November-.
    7. Daniela De Angelis & Stefano Fachin & G. Alastair Young, 1997. "Bootstrapping unit root tests," Applied Economics, Taylor & Francis Journals, vol. 29(9), pages 1155-1161.
    8. Kevin Cullinane & Dong-Wook Song, 2003. "A stochastic frontier model of the productive efficiency of Korean container terminals," Applied Economics, Taylor & Francis Journals, vol. 35(3), pages 251-267.
    9. Aka, F.B. & Decaluwé, B., 1999. "Causality and Comovement between Tax Rate and Budget Deficits: Further Evidence from Developing Countries," Cahiers de recherche 9911, Université Laval - Département d'économique.
    10. Podivinsky, Jan M., 1998. "Testing misspecified cointegrating relationships," Economics Letters, Elsevier, vol. 60(1), pages 1-9, July.
    11. Tambi, N. Emmanuel, 1999. "Co-integration and error-correction modelling of agricultural export supply in Cameroon," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 20(1), January.
    12. Otieno, Zipora Awuor, 2008. "Agricultural Growth, Rural Poverty and Hunger In Africa," 2007 Second International Conference, August 20-22, 2007, Accra, Ghana 52179, African Association of Agricultural Economists (AAAE).
    13. Alberto Bagnai & Silvia Galli & Eleonora Pierucci & Simone Raimondi, 2004. "Narrowing the US twin deficits: simulations with a world macroeconometric model," International Trade 0411004, EconWPA.
    14. Miksjuk Alexei, 2011. "Study the relation between monetary and exchange rate policy: The case of Belarus," EERC Working Paper Series 11/16e, EERC Research Network, Russia and CIS.
    15. Bagnai, Alberto & Carlucci, Francesco, 2003. "An aggregate model for the European Union," Economic Modelling, Elsevier, vol. 20(3), pages 623-649, May.
    16. Yves Bourdet & Hans Falck, 2006. "Emigrants' remittances and Dutch Disease in Cape Verde," International Economic Journal, Taylor & Francis Journals, vol. 20(3), pages 267-284.
    17. Kari Takala & Pekka Pere, 1991. "Testing the cointegration of house and stock prices in Finland," Finnish Economic Papers, Finnish Economic Association, vol. 4(1), pages 33-51, Spring.
    18. Rajendra Prasad Shrestha Ph. D., 2008. "Private Savings Behaviour in Nepal: Long-term Determinants and Short-run Dynamics," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 20, pages 16-31, April.
    19. Mark A. Hooker, 1997. "Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence," Finance and Economics Discussion Series 1997-49, Board of Governors of the Federal Reserve System (U.S.).

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