Inference in codependence: some Monte Carlo results and applications
In this paper, we investigate through Monte Carlo simulations the behavior of the codependence testing procedure (Gouriéroux et Peaucelle ) in small samples and in various usual statistical situations. Our results suggest that, except for the pure MA(q) case, important power losses may occur. The simulation results are illustrated by an analysis of Okun's law conducted for the main OECD countries.
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|Date of creation:||1999|
|Date of revision:|
|Publication status:||Published in: France. Institut National de la Statistique et des Etudes Economiques. Annales d'Economie et de Statistique (1999) v.54|
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