The small sample performance of Granger causality tests under different model dimensions, degree of c cointegration …

The small sample performance of Granger causality tests under different model dimensions, degree of cointegration …

Watson(1995), more appropriate critical values through Monte Carlo experiments, and fractional cointegration. Results show … that the PPP hypothesis is not necessarily rejected from the viewpoint of fractional cointegration, although analyses …

cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …

are formed by integrated process of order 1. We find that without a cointegration relation (spurious case) the …. Whereas, for the case when at least one cointegration relation exists, we have a vT-consistent estimator for the intervention …

cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …