Test for the null hypothesis of cointegration with reduced size distortion

Eiji Kurozumi*, Yoichi Arai

*この研究の対応する著者

研究成果: Article査読

3 被引用数 (Scopus)

抄録

This article considers a single-equation cointegrating model and proposes the locally best invariant and unbiased (LBIU) test for the null hypothesis of cointegration. We derive the local asymptotic power functions and compare them with the standard residual-based test, and show that the LBIU test is more powerful in a wide range of local alternatives. Then, we conduct a Monte Carlo simulation to investigate the finite sample properties of the tests and show that the LBIU test outperforms the residual-based test in terms of both size and power. The advantage of the LBIU test is particularly patent when the error is highly autocorrelated. Furthermore, we point out that finite sample performance of existing tests is largely affected by the initial value condition while our tests are immune to it. We propose a simple transformation of data that resolves the problem in the existing tests.

本文言語English
ページ(範囲)476-500
ページ数25
ジャーナルJournal of Time Series Analysis
29
3
DOI
出版ステータスPublished - 2008 5
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • 統計学、確率および不確実性
  • 応用数学

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