Inference in Codependence: Some Monte Carlo Results and Applications

Michel Beine and Alain Hecq

Annals of Economics and Statistics, 1999, issue 54, 69-90

Abstract: In this paper, we investigate through Monte Carlo simulations the behavior of the codependence testing procedure (Gouriéroux et Peaucelle [1989]) in small samples and in various usual statistical situations. Our results suggest that, except for the pure MA(q) case, important power losses may occur. The simulation results are illustrated by an analysis of Okun's law conducted for the main OECD countries.

Date: 1999
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Working Paper: Inference in codependence: some Monte Carlo results and applications (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1999:i:54:p:69-90

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