Testing for Stationarity in a Cointegrated System

Kunst, Robert M. (July 2002) Testing for Stationarity in a Cointegrated System. IHS Economics Series 117

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Abstract: In systems of variables with a specified or already identified cointegrating rank, stationarity of component variates can be tested by a simple restriction test. The implied decision is often in conflict with the outcome of unit root testson the same variables. Using a framework of Bayes testing and decision contours, this paper searches for a solution to such conflict situations in sample sizes of empirical relevance. It evolves from the decision contour evaluations that the best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test that accounts for the other system variables, whereas strictly univariate unit-root tests do not help much in the decision of interest.;

Item Type: IHS Series
Keywords: 'Bayes test' 'Unit roots' 'Cointegration' 'Decision contours'
Classification Codes (e.g. JEL): C11, C12, C15, C32
Status: Published
Date Deposited: 26 Sep 2014 10:37
Last Modified: 23 Jul 2017 06:00
URI: http://irihs.ihs.ac.at/id/eprint/1439

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