Size and power of the error correction model cointegration test. A bootstrap approach

Article Abstract:

It has been found that error-correction-based model (ECM) cointegration tests that make use of bootstrap critical values have higher accuracy as compared to ECM cointegration tests using asymptotic critical values. Experimental findings likewise show that the power of the test in simple, single-lag, bivariate process is directly proportional to the signal-to-noise ratio.

Research and Development in the Physical, Engineering, and Life Sciences, Statistics, Statistics (Data), Statistics (Mathematics), Error functions

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Cointegration testing in single error-correction equations in the presence of linear time trends

Article Abstract:

Tests for cointegration by error-correction equations are discussed in detail, with regressions being provided with critical values.

Statistical Data Included, Testing, Regression analysis, Linear models (Statistics)

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Combining significance of correlated statistics with application to panel data

Article Abstract:

A method for modifying inverse normal function, using correlational statistics, is presented.

United States, Science & research, Research, Usage, Correlation (Statistics), Functions, Inverse, Inverse functions

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