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 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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98_9.pdf | DNB | 197.48 kB | Adobe PDF | View/Open |
tr09-98.ps | 590 kB | Postscript | View/Open |
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