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Size Properties of Cointegration Tests in Misspecified Systems
Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Economics.
2004 (English)In: Applied Economics Letters, Vol. 11, no 15, 919-924 p.Article in journal (Refereed) Published
Abstract [en]

The small sample size properties of three frequently used cointegration tests when a system has been misspecified are investigated. Specifically, the misspecification consists of one relevant variable being omitted from a system with one cointegrating vector. A Monte Carlo study shows that the Johansen (1991) trace test, adjusted by a simple finite sample correction, has the most robust behaviour when lag length in the test equations is chosen according to traditional information criteria.

Place, publisher, year, edition, pages
2004. Vol. 11, no 15, 919-924 p.
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URN: urn:nbn:se:uu:diva-68307OAI: oai:DiVA.org:uu-68307DiVA: diva2:96218
Available from: 2005-03-03 Created: 2005-03-03 Last updated: 2011-01-12

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