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

DOI10.1080/03610918.2019.1691229OpenAlexW2989881256MaRDI QIDQ5082952

Waqar Khan, Asad Khan, Mehmood Hussan

Publication date: 21 June 2022

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

Full work available at URL: https://doi.org/10.1080/03610918.2019.1691229

zbMATH Keywords

comparisonpowersizecointegration testsstringency

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Point optimal tests of the null hypothesis of cointegration
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Analytical evaluation of the power of tests for the absence of cointegration
• Pitfalls in testing for long run relationships
• A comparison of cointegration tests
• Tests for cointegration. A Monte Carlo comparison
• A residual based test for the null hypothesis of cointegration.
• The Comparison of Performances of Widely Used Cointegration Tests
• Stringency-based ranking of normality tests
• Asymptotic Properties of Residual Based Tests for Cointegration
• A Parametric approach to testing the null of cointegration
• Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• IX. On the problem of the most efficient tests of statistical hypotheses
• Most stringent test of independence for time series

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