[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.5351/CKSS.2009.16.4.707

Sign IV Cointegration Tests

Oh, Yu-Jin (Leeds School of Business, University of Colorado)

Publication Information

Communications for Statistical Applications and Methods / v.16, no.4, 2009 , pp. 707-711 More about this Journal

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.

Keywords

Cointegration; test statistic; sign; instrumental variable; standard normal distribution;

Citations & Related Records

Reference

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