A characterization of cointegrating relationships using induced-order statistics

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dc.contributor.author Aparicio, Felipe M.
dc.contributor.author Escribano, Álvaro
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2011-04-28T17:14:20Z
dc.date.available 2011-04-28T17:14:20Z
dc.date.issued 1998
dc.identifier.uri http://hdl.handle.net/10016/10942
dc.description.abstract In this paper we explore the usefulness of induced-order statistics in the characterization of integrated series and of cointegrating relationships. We propose some cointegration testing devices which do not require prior estimation of the cointegration parameter, and therefore lead to null distributions which are free from lluisance parameters. To test the null of non-cointegration, we proposed using the parametric Dickey-Fuller test statistic on a pair of series obtained from the original ones. These series must be cointegrated with cointegration parameter equal to unity whenever the original series are cointegrated. Thus the null distribution of this test is exactly the Dickey-Fuller one, since it does not depend on the estimated regression parameter. We also proposed a pair of non-parametric test statistics for testing the null hypothesis of stationarity of the errors in the regression of two I (1) time series. These tests are powerful against the wide alternative of non-cointegration or ofpaic. of (possibly comoving) 1(0) series. Therefore they do not require prior testing for, unit roots in the senes.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 98-07
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Integrated series
dc.subject.other Cointegration
dc.subject.other Dickey-Fuller test
dc.subject.other Induced-order statist'ics
dc.subject.other Robustness
dc.title A characterization of cointegrating relationships using induced-order statistics
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
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