A Critical Assessment of Simulated Critical Values

DOI10.1080/03610918.2011.552822zbMath1217.62023OpenAlexW2043126281MaRDI QIDQ3015879

John T. Cuddington, William Navidi

Publication date: 13 July 2011

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

Full work available at URL: https://doi.org/10.1080/03610918.2011.552822

zbMATH Keywords

Monte Carlo simulationsunit root testscointegration tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Cites Work

• Asymptotic Properties of Residual Based Tests for Cointegration
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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