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On the robustness of cointegration tests when series are fractionally integrated

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URI: http://hdl.handle.net/10016/4542
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ws960703.pdf (238.34 KB)
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1996-01
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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.
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Cointegration, Fractional unit roots, Size of test, Johansen LR test, EG test
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DES - Working Papers. Statistics and Econometrics. WS
Economists Online