Full metadata record
DC FieldValueLanguage
dc.contributor.authorBayer, Christian-
dc.contributor.authorHanck, Christoph-
dc.date.accessioned2008-11-26T14:41:51Z-
dc.date.available2008-11-26T14:41:51Z-
dc.date.issued2008-11-26T14:41:51Z-
dc.identifier.urihttp://hdl.handle.net/2003/25873-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-14131-
dc.description.abstractThis paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a more powerful meta test. To exemplify, we combine Engle and Granger (1987) and Johansen (1988) tests. Either of these un- derlying tests can be more powerful than the other one depending on the nature of the data-generating process. The new meta test is at least as powerful as the more powerful one of the underlying tests irrespective of the very nature of the data generating process. At the same time, our new meta test avoids the size distortion inherent in separately applying multiple tests for cointegration to the same data set.en
dc.language.isoende
dc.subjectCointegrationen
dc.subjectMeta testen
dc.subjectMultiple testingen
dc.subject.ddc004-
dc.titleIs double trouble? How to combine cointegration testsen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access-
Appears in Collections:Sonderforschungsbereich (SFB) 475

Files in This Item:
File Description SizeFormat 
tr10-08-Bayer.pdfDNB176.61 kBAdobe PDFView/Open


This item is protected by original copyright



All resources in the repository are protected by copyright.