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Weighted symmetric tests for cointegration based on residual

Title
Weighted symmetric tests for cointegration based on residual
Authors
Shin D.W.
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
1999
Journal Title
Communications in Statistics - Theory and Methods
ISSN
0361-0926JCR Link
Citation
vol. 28, no. 1, pp. 179 - 195
Indexed
SCIE; SCOPUS WOS scopus
Abstract
Weighted symmetric estimation of Pantula et al. (1994) and Shin and So(1997) is employed to improve powers of residual-based tests for cointegration. The augmented Dickey-Fuller tests and the semiparametric tests are considered. A Monte Carlo investigation reveals that tests based on the weighted symmetric estimator have better powers than those based on the ordinary least squares estimator. Limiting distributions of the weighted symmetric tests are derived. Copyright © 1999 by Marcel Dekker, Inc.
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자연과학대학 > 통계학전공 > Journal papers
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