Publication: On the robustness of cointegration tests when series are fractionally integrated
dc.affiliation.dpto | UC3M. Departamento de EstadÃstica | es |
dc.contributor.author | Gonzalo, Jesús | |
dc.contributor.author | Lee, Tae-Hwy | |
dc.contributor.editor | Universidad Carlos III de Madrid. Departamento de EstadÃstica | |
dc.date.accessioned | 2009-06-30T07:13:12Z | |
dc.date.available | 2009-06-30T07:13:12Z | |
dc.date.issued | 1996-01 | |
dc.description.abstract | This 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.mimetype | application/pdf | |
dc.identifier.uri | https://hdl.handle.net/10016/4542 | |
dc.language.iso | eng | |
dc.relation.ispartofseries | UC3M Working Papers. Statistics and Econometrics | |
dc.relation.ispartofseries | 1996-07-03 | |
dc.rights | Atribución-NoComercial-SinDerivadas 3.0 España | |
dc.rights.accessRights | open access | |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | |
dc.subject.eciencia | EstadÃstica | |
dc.subject.other | Cointegration | |
dc.subject.other | Fractional unit roots | |
dc.subject.other | Size of test | |
dc.subject.other | Johansen LR test | |
dc.subject.other | EG test | |
dc.title | On the robustness of cointegration tests when series are fractionally integrated | |
dc.type | working paper | * |
dspace.entity.type | Publication |
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