ESTIMATION AND TESTING FOR COINTEGRATION WITH TRENDED VARIABLES: A Comparison of a Static and a Dynamic Regression Procedure

H Noswijk

No 293141, University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business

Abstract: In this paper two estimation and testing procedures for cointegration are compared for variables with deterministic trends. The first procedure consists of static regression estimator and a residual unit root test; the second estimator and (Wald) test statistic are derived from a dynamic regression. The asymptotic properties are derived, and critical values for the Wald test are simulated. A Monte Carlo simulation study suggests that in small samples the performance of the two procedures critically depends on the parameters of the data generating process.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 43
Date: 1989-10
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/293141/files/amsterdam079.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:amstas:293141

DOI: 10.22004/ag.econ.293141

Access Statistics for this paper

More papers in University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().