No-Cointegration Test Based on Fractional Differencing: Some Monte Carlo Results

• Main Authors: TSE, Yiu Kuen, Anh, V. V., Tieng, Q. M.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1999
• Subjects: Economics
• Online Access: https://ink.library.smu.edu.sg/soe_research/314
• Institution: Singapore Management University

This paper examines the use of the t-statistic in the Geweke-Porter-Hudak regression for the estimation of the fractional differencing parameter as a test for cointegration. The critical values of the test statistic are estimated using Monte Carlo methods. The results confirm that the test will over...