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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2022
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| Materias: | |
| 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 |