Inference on Cointegration Rank for a VEC Model with the SU Johnson Error Distribution

Piotr Kębłowski

doi:https://doi.org/10.59139/ps.2013.02.4

Piotr Kębłowski Uniwersytet Łódzki Przegląd Statystyczny. Statistical Review, vol. 60, 2013, 2, pages: 235-250 Published online: 30 June 2013 DOI https://doi.org/10.59139/ps.2013.02.4

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ARTICLE

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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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