On the ranks of tests having null of cointegration: A Monte Carlo comparison

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dc.authorid0000-0002-5131-577X
dc.contributor.authorKhan, Asad ul Islam
dc.contributor.authorKhan, Asad ul Islam
dc.contributor.authorIsac, Nicoleta
dc.contributor.authorDobrin, Cosmin
dc.contributor.authorHussan, Mehmood
dc.contributor.authorKhan, Asad ul Islam
dc.contributor.authorMarin, Alina-Andreea
dc.contributor.otherYönetim Bilimleri Fakültesi, İktisat Bölümü
dc.contributor.otherYönetim Bilimleri Fakültesi, İktisat Bölümü
dc.date.accessioned2021-06-09T12:45:56Z
dc.date.available2021-06-09T12:45:56Z
dc.date.issued2020
dc.departmentİHÜ, Yönetim Bilimleri Fakültesi, İktisat Bölümü
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.
dc.identifier.citationIsac, 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.
dc.identifier.endpage69
dc.identifier.issn2067-2462
dc.identifier.issue2
dc.identifier.startpage58
dc.identifier.urihttps://hdl.handle.net/20.500.12154/1496
dc.identifier.volume12
dc.identifier.wosWOS:000537839800005
dc.identifier.wosqualityQ4
dc.indekslendigikaynakWeb of Science
dc.institutionauthorKhan, Asad ul Islam
dc.institutionauthorid0000-0002-5131-577X
dc.language.isoen
dc.publisherResearch Center Public ADM & Public Service
dc.relation.ihupublicationcategory117
dc.relation.ispartofManagement Research and Practice
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectCointegration Tests
dc.subjectComparison
dc.subjectPower
dc.subjectRank Score
dc.subjectSize
dc.titleOn the ranks of tests having null of cointegration: A Monte Carlo comparison
dc.typeArticle
dspace.entity.typePublication
relation.isAuthorOfPublication5d56d061-267c-4b33-8b78-b50e651ee5aa
relation.isAuthorOfPublication.latestForDiscovery5d56d061-267c-4b33-8b78-b50e651ee5aa
relation.isOrgUnitOfPublication9d1809d1-3541-41aa-94ed-639736b7e16f
relation.isOrgUnitOfPublication.latestForDiscovery9d1809d1-3541-41aa-94ed-639736b7e16f

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