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A new robust sign test for cointegration

Title
A new robust sign test for cointegration
Authors
Oh Y.So B.S.
Ewha Authors
소병수
SCOPUS Author ID
소병수scopus
Issue Date
2008
Journal Title
Applied Economics Letters
ISSN
1350-4851JCR Link
Citation
vol. 15, no. 12, pp. 971 - 974
Indexed
SSCI; SCOPUS WOS scopus
Abstract
We propose new tests for cointegration based on signs of the residuals of the conventional t-test. Our tests have the limiting normal distribution under the null hypothesis and are robust to heavy tailed disturbances. A Monte-Carlo simulation shows the new tests have a stable size property and are locally more powerful than that of Engle and Granger (1987) for heavy tailed error distribution.
DOI
10.1080/13504850600972287
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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