Combining non‐cointegration tests
Published in Journal of Time Series Analysis • Dec 21, 2012
Authors:,
Christian Bayer
Christoph Hanck
Abstract
The local power of many popular non‐cointegration tests has recently been shown to depend on a certain nuisance parameter. Depending on the value of that parameter, different tests perform best. This paper suggests combination procedures with the aim of providing meta tests that maintain high power ...
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