COINTEGRATION IN SMALL SAMPLES: EMPIRICAL PERCENTILES, DRIFTING MOMENTS AND CUSTOMIZED TESTING¹

Foreign Currency Deposits and the Demand for Money in Developing Countries

“…The conventionally calculated t-statistic for the estimated coefficient c^ can be used, although it does not follow the t-distribution under H . Critical values are taken from the tables o compiled recently by Blangiewicz and Charemza '1990) for small samples. The parameter n is chosen so as to render the disturbance…”

“…DF/ADF test statistics for the three countries for which both q and z were found to be 1(1) are -3.291 for Bangladesh (with n = 0), -0.413 for Indonesia (with n = 4) and -1.481 for Malaysia (with n = 0). Using the tables in Blangiewicz and Charemza (1990), it appears that at the 5 percent significance level, the null assumption of no cointegration (or unit root in the residual series v ) cannot be rejected for Indonesia and Malaysia--a country for which the estimate of the long-run parameter «.. was found to be statistically insignificant.…”

Small Sample Testing For Unit Roots†

“…In a recent paper in this BULLETIN, Blangiewicz and Charemza (1990) consider the problem of small-sample applications of existing unit root tests.…”

Essays on infinite-variance stable errors and robust estimation procedures

“…Note that x t and y t are co-integrated for ρ < 1 and not co-integrated for ρ = 1 in the system (2.37). This DGP is similar to the ones in Blangiewicz and Charemza (1990) (DGP 2) and Engle and Yoo (1987). Graphs of co-integrated and non-co-integrated series that are derived from the system (2.37) with a 1 = 0 are illustrated in Figure 2.1.…”