PL EN


2013 | 60 | 2 | 163-185
Article title

Właściwości wybranych metod małopróbkowego wnioskowania o rzędzie kointegracji

Content
Title variants
EN
Small sample inference on cointegration rank
Languages of publication
PL
Abstracts
PL
W artykule przedstawiono wyniki porównania właściwości małopróbkowych testów rzędu kointegracji. Przeprowadzone eksperymenty Monte Carlo dla różnych procesów generujących dane i różnych obszarów w przestrzeni parametrycznej wskazują, iż (i) test ilorazu wiarygodności z poprawką Bartletta posiada zwykle najlepsze własności, (ii) zastosowanie metody bootstrap dla testu z poprawką Bartletta nie prowadzi do poprawy własności testu, (iii) test asymptotyczny oraz testy z poprawkami na liczbę stopni swobody cechują się zwykle znacznym zniekształceniem rozmiaru testu, (iv) zastosowanie poprawki Bartletta prowadzi do nieznacznej poprawy mocy testu, (v) korelacja składników losowych komponentu stacjonarnego i niestacjonarnego formy kanonicznej powoduje znaczący wzrost mocy rozważanych testów oraz wzrost rozmiaru empirycznego testów, przy czym jedynie w przypadku testu z poprawką Bartletta oraz testu boostrapowego rozmiar empiryczny testu dąży do rozmiaru nominalnego.
EN
In the paper, properties of small sample cointegration rank tests are compared. The Monte Carlo experiments conducted for different data generating processes and areas in the parametric space indicate that (i) the likelihood ratio test with Bartlett correction usually have the best properties, (ii) bootstrapping the Bartlett corrected test does not lead to improvement of test properties, (iii) size of asymptotic test and tests with degrees-of-freedom correction is usually heavily distorted, (iv) the Bartlett correction can lead to a small improvement of power, (v) correlation of error terms between stationary and non-stationary component of canonical form lead to a significant increase of power and size of test, but only size of Bartlett corrected test and bootstrapped test converge to nominal size.
Year
Volume
60
Issue
2
Pages
163-185
Physical description
Contributors
  • Uniwersytet Łódzki, Wydział Ekonomiczno-Socjologiczny Instytut Ekonometrii, Katedra Modeli i Prognoz Ekonometrycznych, ul. Rewolucji 1905 r. nr 41/43, 90-214 Łódź
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-5cbf3761-587a-486d-a5fe-0b96e9ce962f
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