The probabilities of type I and II error of null of cointegration tests: A Monte Carlo comparison

The probabilities of type I and II error of null of cointegration tests: A Monte Carlo comparison

<p dir="ltr">This paper evaluates the performance of eight tests with null hypothesis of cointegration on basis of probabilities of type I and II errors using Monte Carlo simulations. This study uses a variety of 132 different data generations covering three cases of deterministic pa...

Full description

Saved in:
Bibliographic Details
Main Author: Ahmet Faruk Aysan (11902115) (author)
Other Authors: Ibrahim Guney (11902118) (author), Nicoleta Isac (11902121) (author), Asad ul Islam Khan (11902124) (author)
Published: 2022
Subjects:
Economics
Econometrics
Research errors
Monte Carlo method
Test statistics
Covariance
Statistical distributions
Probability distribution
Scientists
Statistical hypothesis testing
Tags: Add Tag
No Tags, Be the first to tag this record!

Similar Items