Campus Units

Economics

Document Type

Article

Publication Version

Published Version

Publication Date

2012

Journal or Book Title

Journal of Time Series Econometrics

Volume

4

Issue

2

First Page or Article ID Number

1

Last Page

68

DOI

10.1515/1941-1928.1124

Abstract

This study explores performance of the Johansen cointegration statistics on data containing negative moving average (NMA) errors. Monte Carlo experiments demonstrate that the asymptotic distributions of the statistics are sensitive to NMA parameters, and that using the standard 5% asymptotic critical values results in severe underestimation of the actual test sizes. We demonstrate that problems associated with NMA errors do not decrease as sample size increases; instead, they become more severe. Further we examine evidence that many U.S. commodity prices are characterized by NMA errors. Pretesting data is recommended before using standard asymptotic critical values for Johansen’s cointegration tests.

Comments

This article is from Journal of Time Series Econometrics 4 (2012): 1, doi:10.1515/1941-1928.1124. Posted with permission.

Copyright Owner

De Gruyter

Language

en

File Format

application/pdf

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