Arbeitspapier
Testing for Cointegration in Linear Quadratic Models
This paper evaluates the finite sample performance of various tests for cointegration by Monte Carlo methods. The evaluation takes place within the linear quadratic model. The results indicate sharp differences in the tests to detect cointegrating relations especially when the cost of adjustment term and the number of regressors are large. Although no single test dominates for all the parameter settings considered, overall the augmented Dickey-Fuller and the Phillips type of test (1987) seem the most reliable in terms of test size and power.
- Language
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Englisch
- Bibliographic citation
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Series: Queen's Economics Department Working Paper ; No. 811
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Gregory, Allan W.
- Event
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Veröffentlichung
- (who)
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Queen's University, Department of Economics
- (where)
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Kingston (Ontario)
- (when)
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1991
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Gregory, Allan W.
- Queen's University, Department of Economics
Time of origin
- 1991
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