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American Journal of Applied Mathematics and Statistics. 2018, 6(4), 121-125
DOI: 10.12691/AJAMS-6-4-1
Original Research

Why Segregating Cointegration Test?

Alayande Semiu Ayinla1,

1Department of Mathematical Sciences, College of Natural Sciences, Redeemer’s University, Ede, Osun State, Nigeria

Pub. Date: July 19, 2018
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Cite this paper

Alayande Semiu Ayinla. Why Segregating Cointegration Test?. American Journal of Applied Mathematics and Statistics. 2018; 6(4):121-125. doi: 10.12691/AJAMS-6-4-1

Abstract

This paper resolves the conflicts that exist between various cointegration tests for cases when different tests for cointegration provide different answers under the same data set. The tests considered are, Augumented Dickey Fuller (ADF) test, Hansen Lc test, Johansen’s test, and Stock and Watson (SW) test. The Monte Carlo experiments conducted show that the Stock Watson and Johansen tests can be grouped together while ADF test significantly shows different performances from that of Hansen Lc test.

Keywords

unit root, cointegation

Copyright

Creative CommonsThis work is licensed under a Creative Commons Attribution 4.0 International License. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/

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