Cointegration tests based on record counting statistics

Felipe M. Aparicio
Authors registered in the RePEc Author Service: Alvaro Escribano

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

Abstract: This paper presents of number of cointegration tests that exploit the statistical properties of the records from the original time series variables. We prove their consistency and obtain their asymptotic null distributions. Among the advantages of this novel methodology, the new tests are invariant with respect to the individual series' variances and also with respect to monotonic transformations applied to these series. In addition, these tests are robust against the presence of level breaks as long as the number of these breaks increases slowly enough with the sample size. Finally, an alternative scheme is proposed to deal with additive outliers, which prevent them from causing size distortions.

Date: 2003-10
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws036615

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