Comparison of Cointegration Tests for Near Integrated Time Series Data with Structural Break
Sample size of data, presence of structural break, location and magnitude of potential break, and having with near integrated process might affect the performance of cointegration tests. Engle-Granger (EG) and Johansen Cointegration tests may have erroneous results since they do not take into accoun...
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| Format: | Article |
| Language: | English |
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Istanbul University
2016-06-01
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| Series: | Alphanumeric Journal |
| Subjects: | |
| Online Access: |
http://alphanumericjournal.com/media/Issue/volume-4-issue-1-2016/comparison-of-cointegration-tests-for-near-integrated-time-s_Cz2Udx8.pdf
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