Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1139702 | Mathematics and Computers in Simulation | 2010 | 7 Pages |
Abstract
This paper investigates effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors. The ratio is defined as a measure of the magnitude of a permanent shock relative to a transitory shock. According to Monte Carlo experiments conducted in this paper, a high signal-to-noise ratio tends to reduce size distortions of a likelihood-based test statistic for a hypothesis on cointegrating vectors; a low signal-to-noise ratio is, in contrast, prone to amplify the size distortions. The experiments demonstrate that the performance of a bootstrap method also depends on the volume of the signal-to-noise ratio. Finally, an empirical illustration is presented.
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Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Takamitsu Kurita,