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Is Double Trouble? – How to Combine Cointegration Tests

Bayer, Christian; Hanck, Christoph - 2008

This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a … conflict. Moreover it avoids the size distortion inherent in separately applying multiple tests for cointegration to the same … data set. We apply our test to 143 data sets from published cointegration studies. There, in one third of all cases single …

Persistent link: https://www.econbiz.de/10010264719

An intersection test for the cointegrating rank in dependent panel data

Arsova, Antonia; Karaman Örsal, Deniz Dilan - 2016

This paper takes a multiple testing perspective on the problem of determining the cointegrating rank in macroeconometric panel data with cross-sectional dependence. The testing procedure for a common rank among the panel units is based on Simes’ (1986) intersection test and requires only the...

Persistent link: https://www.econbiz.de/10011453075

Small sample adjustment for hypotheses testing on cointegrating vectors

Canepa, Alessandra - In: Journal of time series econometrics 14 (2022) 1, pp. 51-85

Persistent link: https://www.econbiz.de/10013260145

Is Double Trouble? How to Combine Cointegration Tests

Bayer, Christian - 2008

Persistent link: https://www.econbiz.de/10012724343

Model Specification Testing for Nonlinear Multivariate Cointegrating Regressions

Dong, Chaohua - 2016

This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that...

Persistent link: https://www.econbiz.de/10013006720

A Panel Bounds Testing Procedure

Bertsatos, Georgios; Sakellaris, Plutarchos; Tsionas, Mike - 2022

We propose a bounds testing procedure (BTP) with a battery of tests for the existence of a non-degenerate co-integrating relationship in levels, for long panels. It is a natural extension to panel data of the respective approach in time series as described by Pesaran, Shin and Smith (2001) and...

Persistent link: https://www.econbiz.de/10013294020

The Effect of Data Transformation on Common Cycle, Cointegration, and Unit Root Tests : Monte Carlo Results and a Simple Test

Swanson, Norman R.; Corradi, Valentina - 2003

In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related tests … cointegration tests. These Monte Carlo findings underscore the importance of either using economic theory as a guide to data …

Persistent link: https://www.econbiz.de/10014075928

Testing multiplicative error models using conditional moment tests

Hautsch, Nikolaus - 2008

We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....

Persistent link: https://www.econbiz.de/10003796125

Is double trouble? : how to combine cointegration tests

Bayer, Christian; Hanck, Christoph - 2008

This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a … for cointegration to the same data set. -- Cointegration ; Meta Test ; Multiple Testing …

Persistent link: https://www.econbiz.de/10003835921

A Residual-Based Cointegration Test for Near Unit Root Variables

Hjalmarsson, Erik; Österholm, Pär - 2007

this assumption. In this paper, we propose robust procedures for a residual-based test of cointegration when the data are … cointegration tests may be subject to substantial size distortions and standard OLS inference may lead to spurious results …

Persistent link: https://www.econbiz.de/10014221890