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Persistent link: https://www.econbiz.de/10000925966
This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the familiar Gaussian basedtests of Johansen, we also consider tests based on non-Gaussianquasi-likelihoods. Moreover, we compare the performance of these parametrictests with tests...
Persistent link: https://www.econbiz.de/10011300549
This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the familiar Gaussian basedtests of Johansen, we also consider tests based on non-Gaussianquasi-likelihoods. Moreover, we compare the performance of these parametrictests with tests...
Persistent link: https://www.econbiz.de/10010324479
Persistent link: https://www.econbiz.de/10001365108