A comparison of cointegration tests

Petr Mariel

Applications of Mathematics (1996)

  • Volume: 41, Issue: 6, page 411-431
  • ISSN: 0862-7940

Abstract

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In this paper some of the cointegration tests applied to a single equation are compared. Many of the existent cointegration tests are simply extensions of the unit root tests applied to the residuals of the cointegrating regression and the habitual H 0 is no cointegration. However, some non residual-based tests and some tests of the opposite null hypothesis have recently appeared in literature. Monte Carlo simulations have been used for the power comparison of the nine selected tests ( A D F , Z ^ α , Z ^ t , D H S , J 1 , H 1 , H 2 , C , L B I ) using several types of data generating processes.

How to cite

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Mariel, Petr. "A comparison of cointegration tests." Applications of Mathematics 41.6 (1996): 411-431. <http://eudml.org/doc/32959>.

@article{Mariel1996,
abstract = {In this paper some of the cointegration tests applied to a single equation are compared. Many of the existent cointegration tests are simply extensions of the unit root tests applied to the residuals of the cointegrating regression and the habitual $H_\{0\}$ is no cointegration. However, some non residual-based tests and some tests of the opposite null hypothesis have recently appeared in literature. Monte Carlo simulations have been used for the power comparison of the nine selected tests ($ADF$, $\hat\{Z\}_\{\alpha \}$, $\hat\{Z\}_\{t\}$, $DHS$, $J1$, $H1$, $H2$, $C$, $LBI$) using several types of data generating processes.},
author = {Mariel, Petr},
journal = {Applications of Mathematics},
keywords = {integrated processes; Monte Carlo simulation; cointegration; integrated processes; unit root tests; Monte Carlo simulation},
language = {eng},
number = {6},
pages = {411-431},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {A comparison of cointegration tests},
url = {http://eudml.org/doc/32959},
volume = {41},
year = {1996},
}

TY - JOUR
AU - Mariel, Petr
TI - A comparison of cointegration tests
JO - Applications of Mathematics
PY - 1996
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 41
IS - 6
SP - 411
EP - 431
AB - In this paper some of the cointegration tests applied to a single equation are compared. Many of the existent cointegration tests are simply extensions of the unit root tests applied to the residuals of the cointegrating regression and the habitual $H_{0}$ is no cointegration. However, some non residual-based tests and some tests of the opposite null hypothesis have recently appeared in literature. Monte Carlo simulations have been used for the power comparison of the nine selected tests ($ADF$, $\hat{Z}_{\alpha }$, $\hat{Z}_{t}$, $DHS$, $J1$, $H1$, $H2$, $C$, $LBI$) using several types of data generating processes.
LA - eng
KW - integrated processes; Monte Carlo simulation; cointegration; integrated processes; unit root tests; Monte Carlo simulation
UR - http://eudml.org/doc/32959
ER -

References

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