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Size and Power of the Error Correction Model Cointegration Test. A Bootstrap Approach

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  • Panagiotis Mantalos
  • Ghazi Shukur

Abstract

The size and power of the ECM cointegration test are investigated by using the ‘bootstrap critical values’. The purpose of this paper is to show the ability of the bootstrap technique to produce critical values which are much more accurate than the asymptotic ones. The properties of the test have been studied, using Monte Carlo methods, for three different data generating processes. As regards the size of the test, we find that the ECM cointegration test together with the bootstrap critical values perform better than the ECM cointegration test based on the asymptotic critical values. While as regards the power of the tests, the results prove to be similar for the different versions.

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  • Panagiotis Mantalos & Ghazi Shukur, 1998. "Size and Power of the Error Correction Model Cointegration Test. A Bootstrap Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 60(2), pages 249-255, May.
    • Handle: RePEc:bla:obuest:v:60:y:1998:i:2:p:249-255
    DOI: 10.1111/1468-0084.00097
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