Most stringent test of null of cointegration: A Monte Carlo comparison
Yükleniyor...
Dosyalar
Tarih
2022
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Taylor & Francis
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
To test for the existence of long run relationship, a variety of null of cointegration tests have been developed in literature. This study is aimed at comparing these tests on basis of size and power using stringency criterion: a robust technique for comparison of tests as it provides with a single number representing the maximum difference between a test’s power and maximum possible power in the entire parameter space. It is found that in general, asymptotic critical values tends to produce size distortion and size of test is controlled when simulated critical values are used. The simple LM test based on KPSS statistic is the most stringent test at all sample sizes for all three specifications of deterministic component, as it has the maximum difference approaching to zero and lesser than 20% for the entire parameter space.
Açıklama
Anahtar Kelimeler
Comparison, Cointegration Tests, Power, Size, Stringency
Kaynak
Comunications in Statistics - Simulation and Computation
WoS Q Değeri
Q4
Scopus Q Değeri
Q3
Cilt
Sayı
Künye
Khan, A. I., Khan, W. M. ve Hussan, M. (2022). Most stringent test of null of cointegration: a Monte Carlo comparison, Communications in Statistics- Simulation and Computation
