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A Monte Carlo study on the pitfalls in determining deterministic components in cointegrating models

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  • Hjelm, Goran
  • Johansson, Martin W.

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  • Hjelm, Goran & Johansson, Martin W., 2005. "A Monte Carlo study on the pitfalls in determining deterministic components in cointegrating models," Journal of Macroeconomics, Elsevier, vol. 27(4), pages 691-703, December.
  • Handle: RePEc:eee:jmacro:v:27:y:2005:i:4:p:691-703
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    References listed on IDEAS

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    1. Pantula, Sastry G., 1989. "Testing for Unit Roots in Time Series Data," Econometric Theory, Cambridge University Press, vol. 5(02), pages 256-271, August.
    2. Johansen, Soren, 1992. "Determination of Cointegration Rank in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 383-397, August.
    3. Gredenhoff, Mikael & Jacobson, Tor, 2001. "Bootstrap Testing Linear Restrictions on Cointegrating Vectors," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 63-72, January.
    4. Doornik, Jurgen A & Hendry, David F & Nielsen, Bent, 1998. " Inference in Cointegrating Models: UK M1 Revisited," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 533-572, December.
    5. Nielsen, Bent & Rahbek, Anders, 2000. " Similarity Issues in Cointegration Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(1), pages 5-22, February.
    6. Binner, Jane & Elger, Thomas, 2002. "The UK Personal Sector Demand for Risky Money," Working Papers 2002:9, Lund University, Department of Economics.
    7. Ahking, Francis W., 2002. "Model mis-specification and Johansen's co-integration analysis: an application to the US money demand," Journal of Macroeconomics, Elsevier, vol. 24(1), pages 51-66, March.
    8. Zhou, Su, 2000. "Testing Structural Hypotheses on Cointegration Relations with Small Samples," Economic Inquiry, Western Economic Association International, vol. 38(4), pages 629-640, October.
    9. Haug, Alfred A., 1996. "Tests for cointegration a Monte Carlo comparison," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 89-115.
    10. Ralf Ostermark & Rune Hoglund, 1999. "Simulating competing cointegration tests in a bivariate system," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(7), pages 831-846.
    11. Hatemi-J, Abdulnasser, 2002. "Fiscal policy in Sweden: effects of EMU criteria convergence," Economic Modelling, Elsevier, vol. 19(1), pages 121-136, January.
    12. Jurgen A. Doornik & H. Peter Boswijk, 2005. "Distribution approximations for cointegration tests with stationary exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 797-810.
    13. Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-277, August.
    14. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
    15. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    16. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    17. Tor Jacobson, 1995. "Simulating small-sample properties of the maximum likelihood cointegration method : estimation and testing," Finnish Economic Papers, Finnish Economic Association, vol. 8(2), pages 96-107, Autumn.
    18. Anders Rahbek & Rocco Mosconi, 1999. "Cointegration rank inference with stationary regressors in VAR models," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 76-91.
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    Cited by:

    1. Justin Doran & Bernard Fingleton, 2014. "Economic shocks and growth: Spatio-temporal perspectives on Europe's economies in a time of crisis," Papers in Regional Science, Wiley Blackwell, vol. 93, pages 137-165, November.
    2. Cushman, David O., 2008. "Long-run PPP in a system context: No favorable evidence after all for the U.S., Germany, and Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 413-424, December.
    3. Kushankur Dey & Debasish Maitra, 2012. "Price discovery in Indian commodity futures market: an empirical exercise," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 5(1), pages 68-87.
    4. Andreas Brunhart, 2013. "Der Klein(st)staat Liechtenstein und seine grossen Nachbarländer: Eine wachstums- und konjunkturanalytische Gegenüberstellung," Arbeitspapiere 44, Liechtenstein-Institut.
    5. Bumpass, Donald & Ginn, Vance & Tuttle, M.H., 2015. "Retail and wholesale gasoline price adjustments in response to oil price changes," Energy Economics, Elsevier, vol. 52(PA), pages 49-54.
    6. Matei Demetrescu & Helmut Lütkepohl & Pentti Saikkonen, 2009. "Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 414-435, November.
    7. Tang, Chor Foon, 2008. "A re-examination of the relationship between electricity consumption and economic growth in Malaysia," Energy Policy, Elsevier, vol. 36(8), pages 3067-3075, August.
    8. Rakesh K. Bissoondeeal & Barry E. Jones & Jane M. Binner & Andrew W. Mullineux, 2010. "Household-Sector Money Demand For The Uk," Manchester School, University of Manchester, vol. 78(s1), pages 90-113, September.
    9. Tang, Chor Foon, 2008. "A re-examination of the role of foreign direct investment and exports in Malaysia's economic growth," MPRA Paper 38536, University Library of Munich, Germany.
    10. Bildirici, Melike E. & Bakirtas, Tahsin, 2014. "The relationship among oil, natural gas and coal consumption and economic growth in BRICTS (Brazil, Russian, India, China, Turkey and South Africa) countries," Energy, Elsevier, vol. 65(C), pages 134-144.
    11. Tang, Chor-Foon & Lau, Evan, 2011. "The Behaviour of Disaggregated Public Expenditures and Income in Malaysia," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 0(Number 1-), pages 1-13, March.
    12. Sabyasachi Kar & Kumarjit Mandal, 2012. "Reexamining the Finance–Growth Relationship for a Developing Economy: A Time Series Analysis of Post-reform India," Working Papers id:5058, eSocialSciences.
    13. Tang, Chor Foon, 2011. "Tourism, real output and real effective exchange rate in Malaysia: a view from rolling sub-samples," MPRA Paper 29379, University Library of Munich, Germany.

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