Bayer, Christian; Hanck, Christoph - 2008
more powerful meta test. To exemplify, we combine Engle and Granger (1987) and Johansen (1988) tests. Either of these … generating process. At the same time, our new meta test avoids the size distortion inherent in separately applying multiple tests … underlying tests can be more powerful than the other one depending on the nature of the data-generating process. The new meta …