کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5095806 | 1376485 | 2015 | 39 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A residual-based ADF test for stationary cointegration in I(2) settings
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We propose a residual-based augmented Dickey-Fuller (ADF) test statistic that allows for detection of stationary cointegration within a system that may contain both I(2) and I(1) observables. The test is also consistent under the alternative of multicointegration, where first differences of the I(2) observables enter the cointegrating relationships. We find the null limiting distribution of this statistic and justify why our proposal improves over related approaches. Critical values are computed for a variety of situations. Additionally, building on this ADF test statistic, we propose a procedure to test the null of no stationary cointegration which overcomes the drawback, suffered by any residual-based method, of the lack of power with respect to some relevant alternatives. Finally, a Monte Carlo experiment is carried out and an empirical application is provided as an illustrative example.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 184, Issue 2, February 2015, Pages 280-294
Journal: Journal of Econometrics - Volume 184, Issue 2, February 2015, Pages 280-294
نویسندگان
Javier Gomez-Biscarri, Javier Hualde,