Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/71225
Authors: 
Kunst, Robert M.
Year of Publication: 
2002
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 117
Abstract: 
In systems of variables with a specified or already identified cointegrating rank, stationarity of component variates can be tested by a simple restriction test. The implied decision is often in conflict with the outcome of unit root tests on the same variables. Using a framework of Bayes testing and decision contours, this paper searches for a solution to such conflict situations in sample sizes of empirical relevance. It evolves from the decision contour evaluations that the best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test that accounts for the other system variables, whereas strictly univariate unit-root tests do not help much in the decision of interest.
Subjects: 
Bayes test
unit roots
cointegration
decision contours
JEL: 
C11
C12
C15
C32
Document Type: 
Working Paper

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