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Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475, TU Dortmund >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/36613
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| Title: | | Is double trouble? How to combine cointegration tests  |
| Authors: | | Bayer, Christian Hanck, Christoph |
| Issue Date: | | 2008 |
| Series/Report no.: | | Technical Report // Sonderforschungsbereich 475, Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2008,10 |
| Abstract: | | This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a more powerful meta test. To exemplify, we combine Engle and Granger (1987) and Johansen (1988) tests. Either of these underlying tests can be more powerful than the other one depending on the nature of the data-generating process. The new meta test is at least as powerful as the more powerful one of the underlying tests irrespective of the very nature of the data generating process. At the same time, our new meta test avoids the size distortion inherent in separately applying multiple tests for cointegration to the same data set. |
| Subjects: | | Cointegration Meta Test Multiple Testing |
| JEL: | | C12 C22 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Technical Reports, SFB 475, TU Dortmund
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