On the robustness of cointegration tests when series are fractionally integrated

Tae Hwy Lee
Authors registered in the RePEc Author Service: Jesus Gonzalo

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This paper shows, analytically and numerically, the effects of a misspecification in the degree of integration on testing for cointegration. Johansen LR tests tend to find too much spurious cointegration while the Engle-Granger test shows a more robust performance than the LR tests.

Keywords: Cointegration; Fractional; unit; roots; Size; of; test; Johansen; LR; test; EG; test (search for similar items in EconPapers)
Date: 1996-01
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://e-archivo.uc3m.es/rest/api/core/bitstreams ... 52f01304a0fc/content (application/pdf)

Related works:
Journal Article: On the robustness of cointegration tests when series are fractionally intergrated (2000)
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:cte:wsrepe:4542

Access Statistics for this paper

More papers in DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística
Bibliographic data for series maintained by Ana Poveda ().