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The effect of spillover on the Johansens tests for Cointegration: A Monte Carlo Analysis
Jönköping University.
Jönköping University.
Linnaeus University, Faculty of Business, Economics and Design, Linnaeus School of Business and Economics. Jönköping University. (Nationalekonomi och Statistik)ORCID iD: 0000-0002-3416-5896
2010 (English)In: International Journal of Computational Economics and Econometrics, ISSN 1757-1170, E-ISSN 1757-1189, Vol. 1, no 3/4, p. 327-342Article in journal (Refereed) Published
Abstract [en]

This paper investigates the effect of spillover (i.e. causality in variance) on the Johansens tests for cointegration by conducting a Monte Carlo experiment where 16 different data generating processes (DGP) are used and a number of factors that might affect the properties of the Johansens cointegration tests are varied. The result from the simulation study clearly shows that spillover effect leads to an over-rejection of the true null hypothesis. Hence, in the presence of spillover it becomes very hard to make inferential statements since it will often lead to erroneous claims that cointegration relationships exist.

Place, publisher, year, edition, pages
InderScience Publishers, 2010. Vol. 1, no 3/4, p. 327-342
Keywords [en]
Cointegration test, GARCH, Size, Spillover, Power
National Category
Economics
Research subject
Statistics/Econometrics
Identifiers
URN: urn:nbn:se:lnu:diva-9274DOI: 10.1504/IJCEE.2010.037942OAI: oai:DiVA.org:lnu-9274DiVA, id: diva2:361114
Available from: 2010-11-08 Created: 2010-11-08 Last updated: 2020-01-24Bibliographically approved

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Mantalos, PanagiotisShukur, Ghazi

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