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A comparison of cointegration tests. (English) Zbl 0870.62066

In the paper some cointegration tests in time series are compared by means of Monte Carlo simulations.The first group of the tests are the ones applied to the residuals of the cointegration regression where one usually takes \(H_0\) (the null hypothesis): no cointegration (augmented Dickey-Fuller test, Phillips test, Durbin-Hausman test). The tests in the second group have the opposite null hypothesis \(H_0\): cointegration (the test by variable addition, Shin test, Leybourne and McCabe test, Hausman-like tests). Some recommendations due to simulations are given.
Reviewer: T.Cipra (Praha)

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C05 Monte Carlo methods
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References:

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