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A new robust sign test for cointegration

Listed author(s):
  • Yujin Oh
  • Beong Soo So
Registered author(s):

    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.

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    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850600972287&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 15 (2008)
    Issue (Month): 12 ()
    Pages: 971-974

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    Handle: RePEc:taf:apeclt:v:15:y:2008:i:12:p:971-974
    DOI: 10.1080/13504850600972287
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