IDEAS home Printed from https://ideas.repec.org/p/qed/wpaper/922.html
   My bibliography  Save this paper

On the Power of Cointegration Tests: Dimension Invariance vs. Common Factors

Author

Listed:
  • Anindya Banerjee
  • Juan J. Dolado
  • Ricardo Mestre

Abstract

This paper considers the trade-off, for cointegration tests, between dimension and power: that is, we compare the power performance of test-statistics which are dimension-invariant but impose common-factor restrictions with tests which are not dimension free but do not impose those restrictions. As a by-product of the analysis, we consider cases where the t-ratio form of the tests have better power properties than the coefficient form, in spite of the latter diverging at rate O (T) and the former at O (T ), under the alternative hypothesis of cointegration.

Suggested Citation

  • Anindya Banerjee & Juan J. Dolado & Ricardo Mestre, 1995. "On the Power of Cointegration Tests: Dimension Invariance vs. Common Factors," Working Paper 922, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:922
    as

    Download full text from publisher

    File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_922.pdf
    File Function: First version 1995
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:spo:wpmain:info:hdl:2441/1784 is not listed on IDEAS
    2. Corinne Houizot & Hélène Baudchon & Catherine Mathieu & Francisco Serranito, 2000. "Plus-values, consommation et épargne," SciencePo Working papers Main hal-03458494, HAL.
    3. repec:hal:wpspec:info:hdl:2441/1784 is not listed on IDEAS
    4. Eric Zivot, 1996. "The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified," Econometrics 9612001, University Library of Munich, Germany.
    5. repec:hal:spmain:info:hdl:2441/1784 is not listed on IDEAS
    6. repec:spo:wpecon:info:hdl:2441/1784 is not listed on IDEAS
    7. Zivot, Eric, 2000. "The Power Of Single Equation Tests For Cointegration When The Cointegrating Vector Is Prespecified," Econometric Theory, Cambridge University Press, vol. 16(3), pages 407-439, June.
    8. Corinne Houizot & Hélène Baudchon & Catherine Mathieu & Francisco Serranito, 2000. "Plus-values, consommation et épargne. Une estimation de l'effet richesse aux États- Unis et au Royaume- Uni," Revue de l'OFCE, Programme National Persée, vol. 73(1), pages 197-240.
    9. Mazier, Jacques & Oh, YongHyup & Saglio, Sophie, 2008. "Exchange rates, global imbalances, and interdependence in East Asia," Journal of Asian Economics, Elsevier, vol. 19(1), pages 53-73, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:qed:wpaper:922. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mark Babcock (email available below). General contact details of provider: https://edirc.repec.org/data/qedquca.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.