Testing for Cointegration in the Presence of Moving Average Errors

Mindy Mallory and Sergio Lence

ISU General Staff Papers from Iowa State University, Department of Economics

Abstract: This study explores performance of the Johansen cointegration statistics on data containing negative moving average (NMA) errors. Monte Carlo experiments demonstrate that the asymptotic distributions of the statistics are sensitive to NMA parameters, and that using the standard 5% asymptotic critical values results in severe underestimation of the actual test sizes. We demonstrate that problems associated with NMA errors do not decrease as sample size increases; instead, they become more severe. Further we examine evidence that many U.S. commodity prices are characterized by NMA errors. Pretesting data is recommended before using standard asymptotic critical values for Johansen’s cointegration tests.

Date: 2012-01-01
References: Add references at CitEc
Citations:

Downloads: (external link)
https://dr.lib.iastate.edu/server/api/core/bitstre ... 7d5a2df2db18/content
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
Journal Article: Testing for Cointegration in the Presence of Moving Average Errors (2012)
Working Paper: Testing for Cointegration in the Presence of Moving Average Errors (2012)
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:isu:genstf:201201010800001034

Access Statistics for this paper

More papers in ISU General Staff Papers from Iowa State University, Department of Economics Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070. Contact information at EDIRC.
Bibliographic data for series maintained by Curtis Balmer ().