Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/6850
Título: | Tests for the null hypothesis of cointegration : a Monte Carlo Comparison |
Autor(es): | Gabriel, Vasco J. |
Palavras-chave: | Cointegration Tests Monte Carlo |
Data: | Jan-2003 |
Editora: | Taylor and Francis |
Revista: | Econometric Reviews |
Citação: | Vasco J. Gabriel (2003) Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison, Econometric Reviews, 22:4, 411-435, DOI: 10.1081/ETC-120025897 |
Resumo(s): | The aim of this paper is to compare the relative performance of several tests for the null hypothesis of cointegration, in terms of size and power in finite samples. This is carried out using Monte Carlo simulations for a range of plausible data-generating processes. We also analyze the impact on size and power of choosing different procedures to estimate the long run variance of the errors. We found that the parametrically adjusted test of McCabe et al. (1997) is the most well-balanced test, displaying good power and relatively few size distortions. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/6850 |
DOI: | 10.1081/ETC-120025897 |
ISSN: | 0747-4938 |
e-ISSN: | 1532-4168 |
Versão da editora: | http://www.informaworld.com/smpp/title~content=t713597248 |
Arbitragem científica: | yes |
Acesso: | Acesso aberto |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Gabriel_2003_ER.pdf | Documento principal | 185,41 kB | Adobe PDF | Ver/Abrir |