On the Size and Power of System Tests for Cointegration

R. Bewley and Minxian Yang

Working Papers from New South Wales - School of Economics

Abstract: It is argued that size distortions and power properties of likelihood based tests for cointegration are so poor in many small sample situstions that alternative are necessary for analysing typical macroeconomic relationships.

Keywords: COINTEGRATION; TESTS; SAMPLING (search for similar items in EconPapers)
JEL-codes: C15 C19 C20 (search for similar items in EconPapers)
Pages: 19 pages
Date: 1996
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:fth:nesowa:96/9

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