The Comparison of Performances of Widely Used Cointegration Tests

DOI10.1080/03610918.2014.889157zbMath1343.62071OpenAlexW2042955279MaRDI QIDQ2816740

Mustafa Dilek, Aytaç Pekmezci

Publication date: 25 August 2016

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2014.889157

zbMATH Keywords

cointegration analysisgenerating time serieswidely cointegration tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Most stringent test of null of cointegration: a Monte Carlo comparison

Cites Work

• Statistical analysis of cointegration vectors
• Tests for cointegration. A Monte Carlo comparison
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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