Inference in Codependence : Some Monte Carlo Results and Applications

In this paper, we investigate through Monte Carlo simulations the behavior of the codependence testing procedure (Gouriéroux et Peaucelle [1989]) in small samples and in various usual statistical situations. Our results suggest that, except for the pure MA(q) case, important power losses may occur. The simulation results are illustrated by an analysis of Okun's law conducted for the main OECD countries.

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Year of publication:	1999
Authors:	BEINE, Michel ; HECQ, Alain
Published in:	Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 1999, 54, p. 69-90
Publisher:	École Nationale de la Statistique et de l'Admnistration Économique (ENSAE)

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005066187