On the Size and Power of System Tests for Cointegration.

It is argued that size distortions and power properties of likelihood based tests for cointegration are so poor in many small sample situstions that alternative are necessary for analysing typical macroeconomic relationships.

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Year of publication:	1996
Authors:	Bewley, R. ; Yang, M.
Institutions:	School of Economics, UNSW Business School
Subject:	COINTEGRATION \| TESTS \| SAMPLING

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Series:	New South Wales - School of Economics.
Type of publication:	Book / Working Paper
Notes:	19 pages
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C19 - Econometric and Statistical Methods: General. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005631355