The power of residual-based tests for cointegration when residuals are fractionally integrated

descriptionPublicationkeyboard_double_arrow_right Article , Report , Research , Preprint 01 Jan 2004Embargo end date: 06 Dec 2004 Germany English Publisher:Elsevier BVJournal:Economics Letters, volume 82, pages 63-69 (issn: 0165-1765,

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Authors: Krämer, Walter; Marmol, Francesc;

doi: 10.1016/j.econlet.2002.03.001 , 10.17877/de290r-5405

handle: 10016/6301 , 10419/77224 , 2003/4822

The power of residual-based tests for cointegration when residuals are fractionally integrated

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Abstract

This paper is concerned with testing the null hypothesis of no cointegration among 1(1) variables when the cointegration residuals are I(d), 0 < d < 1. We consider the power of various well-known residual-based tests under this set-up. Empirical evidence is also provided.

Country

Germany

Related Organizations

TU Dortmund University
Germany
Carlos III University of Madrid
Spain

Keywords

power, Economic time series analysis, Time series, auto-correlation, regression, etc. in statistics (GARCH), cointegration, long memory, ddc:519, Estadística, info:eu-repo/classification/ddc/310, 310, Residual-Based Cointegration Tests, fractionally integrated processes

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