Publication:
Análisis comparativo de 3 estadísticos para la contrastación de inestabilidad paramétrica en relaciones de cointegración

Loading...
Thumbnail Image
Official URL
Full text at PDC
Publication Date
1997
Advisors (or tutors)
Editors
Journal Title
Journal ISSN
Volume Title
Publisher
Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
Citations
Google Scholar
Research Projects
Organizational Units
Journal Issue
Abstract
Este trabajo compara el comportanuento de 3 contrastes de inestabilidad paramétrica en vectores de cointegracíón, recientemente propuestos por Hansen (1992), Hansen y Johansen (1993), y Hansen y Gregory (1996). Los contrastes se definen como el supremo o la media de la secuencia de estadísticos para todos los posibles puntos de corte en la muestra. Examinamos la distribución empírica de los estadísticos, su posible dependencia de parámetros ruidosos, la potencia de los contrastes frente a varias alternativas, así como el sesgo en el estimador del punto de corte derivado de la observación asociada al supremo de la secuencia. Los resultados indican que el contraste de Gregory y Hansen, un contraste ADF secuencial, es el que mejores propiedades presenta en cuanto a potencia y sesgo.
This paper compares the performance of 3 tests for parameter inestability in cointegrating vectors recently developed by Hansen (1992), Hansen and Johansen (1993), and Hansen and Gregory (1996). The tests are defined as the supremum or the mean from the sequence of statistics computed for each passible break point in the sample. We examine the empirical distribution of the tests, their possible dependence on nuisance parameters and their power against various alternatives. We also analyze the bias in the beak paint estimator defined as the sample observatian of fue supremum statistic. Results indicate that the Hansen-Gregrory test, a sequential ADF test, has the best power and bias properties of the three.
Description
Unesco subjects
Keywords
Citation
Andrews, D.W.K. y J.C. Monahan. 1992, "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica 60. 953-966. Banerjee, A., J.J. Dolado, D.F. Hendry y G.W. Smith, 1996, "Exploring Equilibrium Relationships in Econometrics Through Static Models: Some Monte Carlo Evidence." Oxford Bulleting of Economics and Statistics 48, 253-277. Engle, R.F. Y C.W.J. Granger, 1987, "Cointegration and Error Correction: Representation, Estimation and Testing," Econometrica 55, 251-256. Gonzalo, J., 1994, "Five Altemative Methods of Estimating Long-Run Equilibrium Relationships," Journal of Econometrics 60, 203-233. Gregory, A.W., J.M. Nason y D.G. Watt. 1996, "Testing for Structural Breaks in Cointegrated Relationships," Journal of Econometrics 71, 321-341. Gregory, A. W. y B.E. Hansen, 1996, "Residual-Based Tests for Cointegration in Models with Regime Shifts," Journal of Econometrics 70, 99-126. Hansen, B.E., 1992, "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics 10, 321-335. Hansen, H. y S. Johansen, 1993, "Recursive Estimation in Cointegrated VAR-Models," Institute of Mathematical Statistics, University of Copenhagen. Johansen, S., 1988, "Statistica1 Analysis of Cointegrating Vectors," Journal of Economic Dynamics & Control l2, 231-254. Johansen, S., 1991, "Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autorregresive Models," Econometrica 60, 1551-1580. Mackinnon, J.G., 1991, "Critical Values for Cointegration Tests," in Long-Run Economic Relationships: Readings in Cointegration, R. Engle and C. Granger (eds.), Oxford University Press. Osterwald-Lenum, M., 1992, "A Note with Quantiles of Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics 54, 461-471. Perron, P. y TJ. Vogelsang, 1992, "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business and Economics Statistics 10, 301-320. Phillips, P.C.B. y B.E. Hansen, 1990, "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies 57, 99-125. Stock, J.H. y M.W. Watson, 1993, "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica 61, 783-820.