On the robustness of cointegration tests when series are fractionally intergrated

Jesus Gonzalo and Tae Hwy Lee

Journal of Applied Statistics, 2000, vol. 27, issue 7, 821-827

Abstract: This paper shows that when series are fractionally integrated, but unit root tests wrongly indicate that they are I(1), Johansen likelihood ratio (LR) tests tend to find too much spurious cointegration, while the Engle-Granger test presents a more robust performance. This result holds asymptotically as well as infinite samples. The different performance of these two methods is due to the fact that they are based on different principles. The Johansen procedure is based on maximizing correlations (canonical correlation) while Engle-Granger minimizes variances (in the spirit of principal components).

Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/02664760050120515 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: On the robustness of cointegration tests when series are fractionally integrated (1996)
Working Paper: On the Robustness of Cointegration Tests when Series Are Fractionally Integrated (1995)
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:taf:japsta:v:27:y:2000:i:7:p:821-827

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/CJAS20

DOI: 10.1080/02664760050120515

Access Statistics for this article

Journal of Applied Statistics is currently edited by Robert Aykroyd

More articles in Journal of Applied Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().