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A new robust sign test for cointegration

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  • Yujin Oh
  • Beong Soo So

Abstract

We propose new tests for cointegration based on signs of the residuals of the conventional t-test. Our tests have the limiting normal distribution under the null hypothesis and are robust to heavy tailed disturbances. A Monte-Carlo simulation shows the new tests have a stable size property and are locally more powerful than that of Engle and Granger (1987) for heavy tailed error distribution.

Suggested Citation

  • Yujin Oh & Beong Soo So, 2008. "A new robust sign test for cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 15(12), pages 971-974.
  • Handle: RePEc:taf:apeclt:v:15:y:2008:i:12:p:971-974
    DOI: 10.1080/13504850600972287
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    Cited by:

    1. Hoffmann, Sabine & Pohl, Christian & Hering, Janet G., 2017. "Exploring transdisciplinary integration within a large research program: Empirical lessons from four thematic synthesis processes," Research Policy, Elsevier, vol. 46(3), pages 678-692.

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