Authors: Dittmann, Ingolf
Title: Residual-Based Tests for Fractional Cointegration
Other Titles: A Monte Carlo Study
Language (ISO): en
Abstract: This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis of no cointegration. Critical values and the power of the tests under the alternative of fractional cointegration are simulated and compared. It turns out that the Phillips-Perron t-test when applied to regression residuals is more powerful than Geweke-Porter-Hudak tests and the Augmented Dickey-Fuller test. Only the Modified Rescaled Range test is more powerful than the Phillips-Perron test in a few situations. Moreover in large samples, the power of the Phillips-Perron test increases if a time trend is included in the cointegrating regression.
Subject Headings: Augmented Dickey-Fuller test.
fractional cointegration
Geweke-Porter-Hudak test
modified rescaled range test
Monte Carlo experiment
Phillips-Perron test
URI: http://hdl.handle.net/2003/4877
http://dx.doi.org/10.17877/DE290R-16154
Issue Date: 1998
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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