Testing for stationarity in a cointegrated system

Arbeitspapier

In systems of variables with a specified or already identified cointegrating rank, stationarity of component variates can be tested by a simple restriction test. The implied decision is often in conflict with the outcome of unit root tests on the same variables. Using a framework of Bayes testing and decision contours, this paper searches for a solution to such conflict situations in sample sizes of empirical relevance. It evolves from the decision contour evaluations that the best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test that accounts for the other system variables, whereas strictly univariate unit-root tests do not help much in the decision of interest.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Reihe Ökonomie / Economics Series ; No. 117

Classification and Topics

• Classification: Wirtschaft ; Bayesian Analysis: General ; Hypothesis Testing: General ; Statistical Simulation Methods: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: Bayes test ; unit roots ; cointegration ; decision contours ; Kointegration ; Unit Root Test ; Statistischer Test ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kunst, Robert M.
• Event: Veröffentlichung
• (who): Institute for Advanced Studies (IHS)
• (where): Vienna
• (when): 2002

Further information

• Handle: http://hdl.handle.net/10419/71225
• Last update: 10.03.2025, 11:45 AM CET