ARTICLE
ABSTRACT
Performance of small-sample cointegration rank tests is investigated within the framework of a VEC model with skewed fat-tailed error distribution. The Monte Carlo analysis is conducted for: asymptotic test, tests with degrees-of-freedom corrections, test with Bartlett correction, bootstrap test, and bootstrap test with Bartlett correction, as a surrogate of double bootstrap test. The results indicate that the smallsample cointegration rank tests are robust to skewed fat-tailed error distribution, approximated by SU Johnson distribution, with respect to size and power of these tests.
KEYWORDS
fat-tailed error distribution, SU Johnson distribution, small sample inference, cointegration rank
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