A Test Of The Null Hypothesis Of Cointegration Ideas Repec

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Working Papers Journal Articles Books and Chapters Software Components EconPapers FAQ Archive maintainers FAQ Cookies at EconPapers The RePEc blog The RePEc plagiarism page Econometric Reviews, 2003, vol. 22, issue 4, 411-435 Abstract: The aim of this paper is to compare the relative performance of several tests for the null hypothesis of cointegration, in terms of size and power in finite samples.

This is carried out using Monte Carlo simulations for a range of plausible data-generating processes. We also analyze the impact on size and power of choosing different procedures to estimate the long run variance of the errors. We found that the parametrically adjusted test of McCabe et al. (1997) is the most well-balanced test, displaying good power and relatively few size distortions.

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