Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Sign IV Cointegration Tests

  • Oh, Yu-Jin (Leeds School of Business, University of Colorado)
  • Published : 2009.07.31
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Abstract

We propose new cointegration tests using signs of the regressors as instrumental variable. Our tests have the asymptotic standard normal distribution and are free from the dimension of regressors under the null hypothesis of no cointegration. A Monte-Carlo simulation shows that the proposed tests have a stable size and an improved power. Particulary, the tests have better power for small numbers of observations.

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References

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