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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Romanian National Institute of Statistics
2017-09-01
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| Series: | Revista Română de Statistică |
| Subjects: | |
| Online Access: | http://www.revistadestatistica.ro/wp-content/uploads/2017/09/RRS-3_2017_A2.pdf |