Cointegration and the joint confirmation hypothesis

Recent papers by Charemza and Syczewska (1998) and Carrion, Sansó and Ortuño (2001) focused on the joint use of unit root and stationarity tests. In this paper, the discussion is extended to the case of cointegration. Critical values for testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this procedure.

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Year of publication:	2001
Authors:	Gabriel, Vasco J.
Institutions:	Núcleo de Investigação em Políticas Económicas (NIPE), Universidade do Minho
Subject:	Cointegration \| Joint confirmation hypothesis \| Monte Carlo simulations

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Extent:	application/pdf
Series:	NIPE Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 12/2001
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005771629