Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/189135 
Autor:innen: 
Erscheinungsjahr: 
1991
Schriftenreihe/Nr.: 
Queen's Economics Department Working Paper No. 811
Verlag: 
Queen's University, Department of Economics, Kingston (Ontario)
Zusammenfassung: 
This paper evaluates the finite sample performance of various tests for cointegration by Monte Carlo methods. The evaluation takes place within the linear quadratic model. The results indicate sharp differences in the tests to detect cointegrating relations especially when the cost of adjustment term and the number of regressors are large. Although no single test dominates for all the parameter settings considered, overall the augmented Dickey-Fuller and the Phillips type of test (1987) seem the most reliable in terms of test size and power.
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
2.47 MB





Publikationen in EconStor sind urheberrechtlich geschützt.