The Power of Cointegration Tests

Kremers, Jeroen J. M.; Ericsson, Neil R.; Dolado, Juan J.

doi:10.1111/j.1468-0084.1992.tb00005.x

Cited by 983 publications

(284 citation statements)

References 35 publications

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“…The presence of cointegration is assessed upon the stationarity of the residuals obtained from the long-term relationship ). We also make use of the error correction term as a test of cointegration as Kremers et al (1992) argue that it is more powerful than the residual-based Dickey-Fuller test. Furthermore, we cross-check cointegration using Johansen's trace statistics.…”

Section: Monetary Equilibriummentioning

confidence: 99%

The impact of macro news and central bank communication on emerging European forex markets

Égert

Kočenda

2014

Economic Systems

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in

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Section: Monetary Equilibriummentioning

confidence: 99%

The impact of macro news and central bank communication on emerging European forex markets

Égert

Kočenda

2014

Economic Systems

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“…If the residuals are stationary, then (2) represents a cointegrating relationship. This procedure, though simple, may have poor finite-sample properties because it generally does not use all available information on dynamics efficiently; see Banerjee, Dolado, Hendry, and Smith (1986) and Kremers, Ericsson, and Dolado (1992). For comparison with (5) and (7) [and (10) and (14) T , R 2 ,3, and dw are the sample size of the estimation period, the squared multiple correlation coefficient, the estimated equation standard error, and the Durbin-Watson statistic respectively; and the coefficients are estimated by least squares.…”

Section: The Next Row Inmentioning

confidence: 99%

Broad money demand and financial liberalization in Greece

Ericsson

Sharma

1998

Empirical Economics

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This paper develops a constant, data-coherent, error correction model for broad money demand (M3) in Greece. This model contributes to a better understanding of the e®ects of monetary policy in Greece, and of the portfolio consequences of¯nancial innovation in general. The broad monetary aggregate M3 was targeted until recently, and current monetary policy still uses such aggregates as guidelines, yet analysis of this aggregate has been dormant for over a decade.In spite of large°uctuations in the in°ation rate, introduction of new nancial instruments, and liberalization of the¯nancial system, the estimated model is remarkably stable. The dynamics of money demand are important, with price and income elasticities being much smaller in the short run than in the long run.

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“…However, there are some drawbacks in the residual-based approach. First, they tend to lack power as they fail to exploit all the available information about the joint dynamic interactions of the variables (Kremers et al, 1992). Second, the finite-sample bias of the OLS estimator of the cointegrating parameter can be severe even for large samples (Ellison and Satchell, 1993).…”

Section: The Present Value Relationmentioning

confidence: 99%

Rational speculative bubbles in the Asian stock markets: Tests on deterministic explosive bubbles and stochastic explosive root bubbles

Chen¹,

Quan

2013

J Asset Manag

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The standard theory of asset pricing, in which a long-run relationship should exist between stock prices and dividends if there are no deterministic explosive bubbles, assumes the constancy of expected returns. However, the investor'se x p e c t e dr e t u r n sa r e more likely to be time varying, which have led to the modification for the tests of rational bubble. One modification is that the tests should be applied to the log levels of stock price and dividend for allowing the detection of the stochastic explosive root bubble, which incorporates the possibility of time-varying expected returns. Accordingly, we test the existence or otherwise of both types of rational bubbles in the Asian stock markets by applying the unit root tests and the cointegration analyses. The empirical results suggest that the rational bubbles exist in the stock markets of Japan, Singapore, Korea, Taiwan, Thailand, Malaysia, Indonesia and Philippine, whereas Hong Kong is found to have no rational bubbles.

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The Power of Cointegration Tests

Cited by 983 publications

References 35 publications

The impact of macro news and central bank communication on emerging European forex markets

The impact of macro news and central bank communication on emerging European forex markets

Broad money demand and financial liberalization in Greece

Rational speculative bubbles in the Asian stock markets: Tests on deterministic explosive bubbles and stochastic explosive root bubbles

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