Boswijk, H. Peter; Lucas, Andr‚; Taylor, Nick - VU University Amsterdam, Faculty of Economics, Business … - 1998
This paper provides an extensive Monte-Carlo comparison of several contemporary cointegration tests. Apart from the familiar Gaussian based tests of Johansen, we also consider tests based on non-Gaussian quasi-likelihoods. Moreover, we compare the performance of these parametric tests with tests...
