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Journal of Time Series Econometrics

Editor-in-Chief: Hidalgo, Javier

2 Issues per year


Mathematical Citation Quotient (MCQ) 2016: 0.10

Online
ISSN
1941-1928
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Testing for Cointegration in the Presence of Moving Average Errors

Mindy Mallory
  • University of Illinois at Urbana-Champaign
/ Sergio H. Lence
  • Iowa State University
Published Online: 2012-11-14 | DOI: https://doi.org/10.1515/1941-1928.1124

Abstract

This study explores performance of the Johansen cointegration statistics on data containing negative moving average (NMA) errors. Monte Carlo experiments demonstrate that the asymptotic distributions of the statistics are sensitive to NMA parameters, and that using the standard 5% asymptotic critical values results in severe underestimation of the actual test sizes. We demonstrate that problems associated with NMA errors do not decrease as sample size increases; instead, they become more severe. Further we examine evidence that many U.S. commodity prices are characterized by NMA errors. Pretesting data is recommended before using standard asymptotic critical values for Johansen’s cointegration tests.

Keywords: cointegration; Johansen cointegration test; moving average

About the article

Published Online: 2012-11-14


Citation Information: Journal of Time Series Econometrics, ISSN (Online) 1941-1928, DOI: https://doi.org/10.1515/1941-1928.1124.

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©2012 Walter de Gruyter GmbH & Co. KG, Berlin/Boston. Copyright Clearance Center

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