On the Size and Power of System Tests for Cointegration
It is argued that size distortions and power properties of likelihood based tests for cointegration are so poor in many small sample situstions that alternative are necessary for analysing typical macroeconomic relationships.
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|Date of creation:||1996|
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Other versions of this item:
- Ronald Bewley & Minxian Yang, 1998. "On The Size And Power Of System Tests For Cointegration," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 675-679, November.
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
- Carlos Enrique Carrasco Gutiérrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2007.
"Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features,"
Working Papers Series
139, Central Bank of Brazil, Research Department.
- Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009. "Selection of optimal lag length in cointegrated VAR models with weak form of common cyclical features," MPRA Paper 22550, University Library of Munich, Germany.
- Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," MPRA Paper 66065, University Library of Munich, Germany, revised 2009.
- Carlos Enrique Carrasco Gutierrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Fucape Working Papers 16, Fucape Business School.
- Österholm, Pär, 2003. "Testing for Cointegration in Misspecified Systems –A Monte Carlo Study of Size Distortions," Working Paper Series 2003:21, Uppsala University, Department of Economics.
- Elena Pesavento, 2007. "Residuals-based tests for the null of no-cointegration: an Analytical comparison," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(1), pages 111-137, 01.
- Elena Pesavento, 2005. "Residuals Based Tests for the Null of No Cointegration: An Analytical Comparison," Emory Economics 0503, Department of Economics, Emory University (Atlanta).
- Par Osterholm, 2004. "Size properties of cointegration tests in misspecified systems," Applied Economics Letters, Taylor & Francis Journals, vol. 11(15), pages 919-924.
- Pesavento, Elena, 2004. "Analytical evaluation of the power of tests for the absence of cointegration," Journal of Econometrics, Elsevier, vol. 122(2), pages 349-384, October.
- Pesavento, Elena, 2000. "Analytical Evaluation of the Power of Tests for the Absence of Cointegration," University of California at San Diego, Economics Working Paper Series qt4cq4773c, Department of Economics, UC San Diego.
- Lukasz Lach & Henryk Gurgul, 2010. "International trade and economic growth in the Polish economy," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 3, pages 5-29.
- Gurgul, Henryk & Lach, Łukasz, 2010. "International trade and economic growth in the Polish economy," MPRA Paper 52286, University Library of Munich, Germany.
- Wagner, Martin, 1999. "VAR Cointegration in VARMA Models," Economics Series 65, Institute for Advanced Studies.
- Dietmar Maringer & Peter Winker, 2004. "Optimal Lag Structure Selection in VEC-Models," Computing in Economics and Finance 2004 155, Society for Computational Economics.
- Jordan Shan & Fiona Sun, 1998. "On the export-led growth hypothesis for the little dragons: An empirical reinvestigation," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 26(4), pages 353-371, December.
- Bewley, Ronald, 2002. "Forecast accuracy, coefficient bias and Bayesian vector autoregressions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 59(1), pages 163-169.
- Nasim Shah Shirazi & Turkhan Ali Abdul Manap, 2004. "Exports and Economic Growth Nexus: The Case of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 43(4), pages 563-581.
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