Testing for Stationarity in a Cointegrated System
Abstract: In systems of variables with a specified or already identified cointegrating rank, stationarity of component variates can be tested by a simple restriction test. The implied decision is often in conflict with the outcome of unit root testson the same variables. Using a framework of Bayes t...| Link(s) zu Dokument(en): | IHS Publikation |
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| Format: | IHS Series NonPeerReviewed |
| Sprache: | Englisch |
| Veröffentlicht: |
Institut für Höhere Studien
2002
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| Zusammenfassung: | Abstract: In systems of variables with a specified or already identified cointegrating rank, stationarity of component variates can be tested by a simple restriction test. The implied decision is often in conflict with the outcome of unit root testson the same variables. Using a framework of Bayes testing and decision contours, this paper searches for a solution to such conflict situations in sample sizes of empirical relevance. It evolves from the decision contour evaluations that the best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test that accounts for the other system variables, whereas strictly univariate unit-root tests do not help much in the decision of interest.; |
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