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Boswijk, H. Peter
Lucas, Andre
Taylor, Nick
Year of Publication: 
Series/Report no.: 
Tinbergen Institute Discussion Paper 99-012/4
This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the familiar Gaussian basedtests of Johansen, we also consider tests based on non-Gaussianquasi-likelihoods. Moreover, we compare the performance of these parametrictests with tests that estimate the score function from the data using eitherkernel estimation or semi-nonparametric density approximations. Thecomparison is completed with a fully nonparametric cointegration test. Insmall samples, the overall performance of the semi-nonparametric approachappears best in terms of size and power. The main cost of thesemi-nonparametric approach is the increased computation time. In largesamples and for heavily skewed or multimodal distributions, the kernel basedadaptive method dominates. For near-Gaussian distributions, however, thesemi-nonparametric approach is preferable again.
Document Type: 
Working Paper

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