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The test search for true mixed-signal cores

✍ Scribed by Hans G. Kerkhoff


Book ID
104051075
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
458 KB
Volume
36
Category
Article
ISSN
0026-2692

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Mixed signals among tests for cointegrat
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## Abstract This paper illustrates that, under the null hypothesis of no cointegration, the correlation of __p__‐values from a single‐equation residual‐based test (i.e., __ADF__ or $\widehat{Z}\_{\alpha}$) with a system‐based test (trace or maximum eigenvalue) is very low even as the sample size ge