The probabilities of type I and II error of null of cointegration tests: A Monte Carlo comparison

The probabilities of type I and II error of null of cointegration tests: A Monte Carlo comparison

This paper evaluates the performance of eight tests with null hypothesis of cointegration on basis of probabilities of type I and II errors using Monte Carlo simulations. This study uses a variety of 132 different data generations covering three cases of deterministic part and four sample sizes. The...

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Bibliographic Details
Main Authors: Ahmet Faruk Aysan, Ibrahim Guney, Nicoleta Isac, Asad ul Islam Khan
Format: Article
Language:English
Published: Public Library of Science (PLoS) 2022-01-01
Series:PLoS ONE
Online Access:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8726486/?tool=EBI

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