A comparison of cointegration tests

Combining Non-Cointegration Tests∗

The local asymptotic 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 across the range of the nuisance parameter. The local asymptotic power of the new meta...

a comparison of linguistic and pragmatic knowledge: a case of iranian learners of english

در این تحقیق دانش زبانشناسی و کاربردشناسی زبان آموزان ایرانی در سطح بالای متوسط مقایسه شد. 50 دانش آموز با سابقه آموزشی مشابه از شش آموزشگاه زبان مختلف در دو آزمون دانش زبانشناسی و آزمون دانش گفتار شناسی زبان انگلیسی شرکت کردند که سوالات هر دو تست توسط محقق تهیه شده بود. همچنین در این تحقیق کارایی کتابهای آموزشی زبان در فراهم آوردن درون داد کافی برای زبان آموزان ایرانی به عنوان هدف جانبی تحقیق ...

A Review of Systems Cointegration Tests

The literature on systems cointegration tests is reviewed and the various sets of assumptions for the asymptotic validity of the tests are compared within a general unifying framework. The comparison includes likelihood ratio tests, Lagrange multiplier and Wald type tests, lag augmentation tests, tests based on canonical correlations, the Stock-Watson tests and Bierens' nonparametric tests. Asy...

ADL tests for threshold cointegration

In this paper, we propose new tests for threshold cointegration in the autoregressive distributed lag (ADL) model. The indicators in the threshold model are based on either a nonstationary or stationary threshold variable. The cointegrating vector in this paper is not pre-specified. We adopt a supremum Wald type test to account for the so-called Davies problem. The asymptotic null distributions...

Unit Root and Cointegration Tests