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Details for article 10 of 11 found articles
| Title: |
Size properties of cointegration tests in misspecified systems |
| Author: |
Osterholm, Par |
| Appeared in: |
Applied economics letters |
| Paging: | Volume 11 (2004) nr. 15 pages 919-924 |
| Year: |
2004-12-15 |
| Contents: |
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. |
| Publisher: |
Routledge |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 10 of 11 found articles
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