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Title:Is double trouble? How to combine cointegration tests PDF Logo
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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