On the ranks of tests having null of cointegration: A Monte Carlo comparison
Yükleniyor...
Dosyalar
Tarih
2020
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Research Center Public ADM & Public Service
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
The 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.
Açıklama
Anahtar Kelimeler
Cointegration Tests, Comparison, Power, Rank Score, Size
Kaynak
Management Research and Practice
WoS Q DeÄŸeri
Q4
Scopus Q DeÄŸeri
Cilt
12
Sayı
2
Künye
Isac, N., Dobrin, C., Hussan, M., Khan, A. I. 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.
