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On the robustness of cointegration tests when series are fractionally integrated

dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorGonzalo, Jesús
dc.contributor.authorLee, Tae-Hwy
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2009-06-30T07:13:12Z
dc.date.available2009-06-30T07:13:12Z
dc.date.issued1996-01
dc.description.abstractThis paper shows, analytically and numerically, the effects of a misspecification in the degree of integration on testing for cointegration. Johansen LR tests tend to find too much spurious cointegration while the Engle-Granger test shows a more robust performance than the LR tests.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/4542
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries1996-07-03
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.otherCointegration
dc.subject.otherFractional unit roots
dc.subject.otherSize of test
dc.subject.otherJohansen LR test
dc.subject.otherEG test
dc.titleOn the robustness of cointegration tests when series are fractionally integrated
dc.typeworking paper*
dspace.entity.typePublication
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