A note on the power of the GPH test for cointegration
نویسندگان
چکیده
In their article Cheung and Lai (1993), propose a test for cointegration against fractional alternatives. The test is based on the GPH estimator by Geweke and Porter-Hudak (1983). This test uses only the Tα smallest frequencies, where α usually is set between 0.5 and 0.6. The choice of α has impact on the power of the test. In this paper we argue that using larger α increases the power against both fractional and autoregressive alternatives. A simulation study supports this.
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تاریخ انتشار 2002