Sign IV Cointegration Tests



Oh, Yu-Jin

  • 발행 : 2009.07.31


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.


Cointegration;test statistic;sign;instrumental variable;standard normal distribution


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