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dc.contributor.authorIsac, Nicoleta
dc.contributor.authorDobrin, Cosmin
dc.contributor.authorHussan, Mehmood
dc.contributor.authorKhan, Asad ul Islam
dc.contributor.authorMarin, Alina-Andreea
dc.date.accessioned2021-06-09T12:45:56Z
dc.date.available2021-06-09T12:45:56Z
dc.date.issued2020en_US
dc.identifier.citationIsac, N., Dobrin, C., Hussan, M., Khan, A. U. ve Marin, A. A. (2020). On the ranks of tests having null of cointegration: A Monte Carlo comparison. Management Research and Practice, 12(2), 58-69.en_US
dc.identifier.issn2067-2462
dc.identifier.urihttps://hdl.handle.net/20.500.12154/1496
dc.description.abstractThe null of cointegration tests for testing the existence of cointegration are available in literature in great diversity. The selection of a particular test from all these available tests is the crucial problem and often researchers face this. This study is carried out to solve this problem by comparing eight tests on basis two properties of size and power using a new proposed methodology of rank scores. Three different specifications of deterministic component and four sample sizes are considered. It is concluded that if asymptotic critical values are used then it results into an uncontrolled empirical size. While, if the simulated critical values are used, then the empirical size is controlled around nominal size. Moreover, on basis of power, a simple test, which is based on KPSS statistic, is the sole better performer for all of the different 132 different cases of data generations considered in the study.en_US
dc.language.isoengen_US
dc.publisherResearch Center Public ADM & Public Serviceen_US
dc.relation.ispartofManagement Research and Practiceen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCointegration Testsen_US
dc.subjectComparisonen_US
dc.subjectPoweren_US
dc.subjectRank Scoreen_US
dc.subjectSizeen_US
dc.titleOn the ranks of tests having null of cointegration: A Monte Carlo comparisonen_US
dc.typearticleen_US
dc.departmentİHÜ, İnsan ve Toplum Bilimleri Fakültesi, İktisat Bölümüen_US
dc.authorid0000-0002-5131-577Xen_US
dc.identifier.volume12en_US
dc.identifier.issue2en_US
dc.identifier.startpage58en_US
dc.identifier.endpage69en_US
dc.ihuauthorid0000-0002-5131-577Xen_US
dc.relation.ihupublicationcategory117en_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.contributor.institutionauthorKhan, Asad ul Islam
dc.identifier.wosqualityQ4en_US
dc.description.wospublicationidWOS:000537839800005en_US


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