Power and Size analysis of Co-integration tests in Conditional Heteroskedascity: A Monte Carlo Simulation

Power and Size analysis of Co-integration tests in Conditional Heteroskedascity: A Monte Carlo Simulation

This paper investigates the finite sample performance of power and size properties of several major co-integration tests using simulation analysis. These tests include; the co-integration Regression Durbin-Watson test (CRDW), Eagle-Granger test, Dicky Fuller unit root test with () statistics, Johans...

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Bibliographic Details
Main Authors: Osabuohien-Irabor Osarumwense, Julian I. Mbegbu
Format: Article
Language:English
Published: Romanian National Institute of Statistics 2017-09-01
Series:Revista Română de Statistică
Subjects:
Co-integration test
Size
Monte-Carlos Simulation
Power
Heteroskedasticity
Online Access:http://www.revistadestatistica.ro/wp-content/uploads/2017/09/RRS-3_2017_A2.pdf

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