Most stringent test of null of cointegration: a Monte Carlo comparison

DOI10.1080/03610918.2019.1691229MaRDI QIDQ5082952zbMATH OpenOpenAlexFDO

Authors Asad Khan, Waqar Khan, Mehmood Hussan

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1691229

zbMATH Keywords

cointegration testscomparisonpowersizestringency

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

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Cites work

• A comparison of cointegration tests
• A Parametric approach to testing the null of cointegration
• A residual based test for the null hypothesis of cointegration.
• Analytical evaluation of the power of tests for the absence of cointegration
• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• IX. On the problem of the most efficient tests of statistical hypotheses
• Most stringent test of independence for time series
• Pitfalls in testing for long run relationships
• Point optimal tests of the null hypothesis of cointegration
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Stringency-based ranking of normality tests
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Tests for cointegration. A Monte Carlo comparison
• Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
• The comparison of performances of widely used cointegration tests

Cited in

(3)

• The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations
• Point optimal tests of the null hypothesis of cointegration
• Monte Carlo tests of cointegration with structural breaks

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