- Sign IV Cointegration Tests
- Sign IV Cointegration Tests
- ㆍ 저자명
- Oh. Yu-Jin
- ㆍ 간행물명
- 한국통계학회 논문집
- ㆍ 권/호정보
- 2009년|16권 4호|pp.707-711 (5 pages)
- ㆍ 발행정보
- 한국통계학회
- ㆍ 파일정보
- 정기간행물|ENG| PDF텍스트
- ㆍ 주제분야
- 기타
이 논문은 한국과학기술정보연구원과 논문 연계를 통해 무료로 제공되는 원문입니다.
We propose new cointegration tests using signs of the regressors as instrumental variable. Our tests have the asymptotic standard normal distribution and are free from the dimension of regressors under the null hypothesis of no cointegration. A Monte-Carlo simulation shows that the proposed tests have a stable size and an improved power. Particulary, the tests have better power for small numbers of observations.