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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Detalles Bibliográficos
Autores principales: Aysan, Ahmet Faruk, Guney, Ibrahim, Isac, Nicoleta, Khan, Asad ul Islam
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2022
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8726486/
https://www.ncbi.nlm.nih.gov/pubmed/34982763
http://dx.doi.org/10.1371/journal.pone.0259994

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8726486/
https://www.ncbi.nlm.nih.gov/pubmed/34982763
http://dx.doi.org/10.1371/journal.pone.0259994

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