More powerful Engle-Granger cointegration tests

DOI10.1080/00949655.2014.957206MaRDI QIDQ5222271zbMATH OpenOpenAlexFDO

Authors Hyejin Lee, Junsoo Lee

Publication date 1 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2014.957206

zbMATH Keywords

cointegrationEngle-Granger test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Cointegration testing under structural change: reducing size distortions and improving power of residual based tests
• Asymptotic Properties of Residual Based Tests for Cointegration
• More powerful cointegration tests with non-normal errors
• A CUSUM test for cointegration using regression residuals
• Analytical evaluation of the power of tests for the absence of cointegration

Cites work

• ADL tests for threshold cointegration
• Analytical evaluation of the power of tests for the absence of cointegration
• Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distributions of error correction tests for cointegration
• Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Residual based tests for cointegration. A Monte Carlo study of size distortions
• Testing for an unstable root in conditional and structural error correction models
• Tests for cointegration. A Monte Carlo comparison

Cited in

(6)

• A covariate residual-based cointegration test applied to the CDS-bond basis
• More powerful cointegration tests with non-normal errors
• THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED
• Simulating competing cointegration tests in a bivariate system
• Residuals-based tests for cointegration with generalized least-squares detrended data
• Testing for cointegration: Power versus frequency of observation--another view

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