 Bootstrap testing for cointegration of international commodity pricesSeppo Pynnonen and Juuso Vataja Applied Economics, 2002, vol. 34, issue 5, 637-647 Abstract: This paper investigates cointegration with respect to nine commodity groups traded on international markets. Nonparametric bootstrapping is utilized in the testing procedure. Of the 21 pairs of price series, investigated here, for 13 the no-cointegration null hypothesis is rejected in favour for the cointegration of the series. In addition to five out of the remaining eight cases that were not cointegrated, a plausible explanation is the prevailing trade policy. Thus a great majority of the institutionally nonregulated cases turn out to get empirical support for being cointegrated. An important statistical finding is that the augmented Dickey-Fuller test for cointegration (CRADF) generally yields p-values that are close to the p-values obtained by the bootstrap testing. But once they differ substantially, it is usually an indication of irregular periods (e.g. structural changes) in the series. The paper conducts also a Monte Carlo simulation experiment to investigate the power and size properties of the tests. Generally the results indicate that the test procedures have pretty low power in small samples. Bootstrapping improves the testing somewhat by leading consistently to a bit more powerful inference. Date: 2002 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:34:y:2002:i:5:p:637-647 Ordering information: This journal article can be ordered from DOI: 10.1080/00036840110050642 Access Statistics for this article Applied Economics is currently edited by Anita Phillips More articles in Applied Economics from Taylor & Francis Journals |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.