In this article ten cointegration tests based on residuals of cointegrating equation are compared on basis of stringency criterion: a robust technique for comparison of tests using Monte Carlo simulations. Two tests i.e. Phillips and Ouliaris’ Pu and Choi Durbin-Hausman statistic are the leading performers and are recommended for any sample size. The remaining eight tests are recommended for only large sample sizes of 200 or greater. The use of all these ten tests is not recommended when presence of both intercept and linear time trend is assumed in cointegrating equation unless the sample size is very large i.e. greater than 200
This paper develops an asymptotic theory for residual based tests for cointegration. These tests inv...
We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic...
This paper analyzes the robustness of the two most commonly used cointegration tests: the single equ...
In this article ten cointegration tests based on residuals of cointegrating equation are compared on...
summary:In this paper some of the cointegration tests applied to a single equation are compared. Man...
To test for the existence of long run relationship, a variety of null of cointegration tests have be...
The aim of this paper is to compare the relative performance of several tests for the null hypothesi...
This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis...
The aim of this paper is to compare the relative performance of several tests for the null hypothe...
This paper evaluates the performance of eight tests with null hypothesis of cointegration on basis o...
In this paper the performance of nine panel cointegration tests, having the null hypothesis of no co...
The aim of this paper is to study the performance of residual-based tests for cointegration in the p...
Sample size of data, presence of structural break, location and magnitude of potential break, and ha...
This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis...
The main aim of this paper is to compare the size and size-adjusted power properties of four residua...
This paper develops an asymptotic theory for residual based tests for cointegration. These tests inv...
We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic...
This paper analyzes the robustness of the two most commonly used cointegration tests: the single equ...
In this article ten cointegration tests based on residuals of cointegrating equation are compared on...
summary:In this paper some of the cointegration tests applied to a single equation are compared. Man...
To test for the existence of long run relationship, a variety of null of cointegration tests have be...
The aim of this paper is to compare the relative performance of several tests for the null hypothesi...
This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis...
The aim of this paper is to compare the relative performance of several tests for the null hypothe...
This paper evaluates the performance of eight tests with null hypothesis of cointegration on basis o...
In this paper the performance of nine panel cointegration tests, having the null hypothesis of no co...
The aim of this paper is to study the performance of residual-based tests for cointegration in the p...
Sample size of data, presence of structural break, location and magnitude of potential break, and ha...
This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis...
The main aim of this paper is to compare the size and size-adjusted power properties of four residua...
This paper develops an asymptotic theory for residual based tests for cointegration. These tests inv...
We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic...
This paper analyzes the robustness of the two most commonly used cointegration tests: the single equ...
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