The article discusses the use of some Monte Carlo experiments to investigate the effects of dynamic specification on the size and power of three cointegration tests. The first test, proposed by Engle and Granger (1987), is the residual augmented Dickey-Fuller unit root test. The second is a Wald test for the significance of the error correction mechanism in an autoregressive-distributed lag model, suggested by Boswijk (1989) and further developed in Boswijk (1991). The third test is a likelihood ratio test in a vector autoregressive model, proposed by Johansen (1988) and extended in Johansen and Juselius (1990).

Additional Metadata
Keywords Monte Carlo method, cointegration, dynamics, econometrics, economic models, economics (mathematical models), economics (statistical methods), statistics
Persistent URL hdl.handle.net/1765/2070
Journal Oxford Bulletin of Economics and Statistics
Citation
Franses, Ph.H.B.F, & Boswijk, H.P. (1992). Dynamic specification and cointegration. Oxford Bulletin of Economics and Statistics, 369–382. Retrieved from http://hdl.handle.net/1765/2070