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.
Copyright Owner
De Gruyter
Copyright Date
2012
Language
en
File Format
application/pdf
Recommended Citation
Mallory, Mindy and Lence, Sergio H., "Testing for Cointegration in the Presence of Moving Average Errors" (2012). Economics Publications. 39.
https://lib.dr.iastate.edu/econ_las_pubs/39
Comments
This article is from Journal of Time Series Econometrics 4 (2012): 1, doi:10.1515/1941-1928.1124. Posted with permission.