Cointegration and the joint confirmation hypothesis

• Autor(es): Gabriel, Vasco J.
• Data: 2001
• Identificador Persistente: http://hdl.handle.net/1822/1437
• Origem: RepositóriUM - Universidade do Minho
• Assunto(s): Cointegration; Joint confirmation hypothesis; Monte Carlo simulations
• Tipo de Documento: Research paper
• Idioma: Inglês

Descrição

Recent papers by Charemza and Syczewska (1998) and Carrion, Sansó and Ortuño (2001) focused on the joint use of unit root and stationarity tests. In this paper, the discussion is extended to the case of cointegration. Critical values for testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this procedure.