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The probabilities of type I and II error of null of cointegration tests: A Monte Carlo comparison
- Source :
- PLoS ONE, Vol 17, Iss 1, p e0259994 (2022), PLoS ONE, PLoS ONE, Vol 17, Iss 1 (2022)
- Publication Year :
- 2022
- Publisher :
- Public Library of Science (PLoS), 2022.
-
Abstract
- 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 part and four sample sizes. The three cases of deterministic part considered are: absence of both intercept and linear time trend, presence of only the intercept and presence of both the intercept and linear time trend. It is found that all of tests have either larger or smaller probabilities of type I error and concluded that tests face either problems of over rejection or under rejection, when asymptotic critical values are used. It is also concluded that use of simulated critical values leads to controlled probability of type I error. So, the use of asymptotic critical values may be avoided, and the use of simulated critical values is highly recommended. It is found and concluded that the simple LM test based on KPSS statistic performs better than rest for all specifications of deterministic part and sample sizes. © 2022 Public Library of Science. All rights reserved.
- Subjects :
- Science and Technology Workforce
Economics
Science Policy
Clinical article
Null Hypothesis
Science
Test Statistics
Social Sciences
Research and Analysis Methods
Careers in Research
Article
Mathematical and Statistical Techniques
Least square analysis
Case report
Null hypothesis
Least-Squares Analysis
Statistical Methods
Critical value
Research Errors
Probability
Clinical Article
Models, Statistical
Multidisciplinary
Covariance
Sample size
Statistics
Random Variables
Research Assessment
Probability Theory
Probability Distribution
Monte Carlo method
Professions
Physical Sciences
People and Places
Scientists
Medicine
Population Groupings
Statistical model
Critical Value
Monte Carlo Method
Mathematics
Finance
Research Article
Statistical Distributions
Subjects
Details
- ISSN :
- 19326203
- Volume :
- 17
- Database :
- OpenAIRE
- Journal :
- PLOS ONE
- Accession number :
- edsair.doi.dedup.....830fa704f6bc35f70ec4a11405b25c7d