Is double trouble? How to combine cointegration tests

Arbeitspapier

This 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 underlying 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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Technical Report ; No. 2008,10

Klassifikation und Themen

• Klassifikation: Hypothesis Testing: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• Thema: Cointegration ; Meta Test ; Multiple Testing

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Bayer, Christian ; Hanck, Christoph
• Ereignis: Veröffentlichung
• (wer): Technische Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
• (wo): Dortmund
• (wann): 2008

Weitere Informationen

• Handle: http://hdl.handle.net/10419/36613
• Letzte Aktualisierung: 20.09.2024, 08:23 MESZ