The effects of I(1) series on cointegration inference. Issue 4 (2002)

• Record Type: Journal Article
• Authors: Lin, Yan-Xia; Mccrae, Michael
• Is Part Of: Journal of applied mathematics & decision sciences. Volume 6:Issue 4(2002)
• Page Start: 229
• Page End: 240
• Publication Date: 2002
• Subjects: Operations research -- Periodicals; Mathematical models -- Periodicals; Statistics -- Periodicals; Quality control -- Periodicals; Mathematical models; Operations research; Quality control; Statistics; Periodicals; 519.05
• DOI: 10.1155/S1173912602000160
• Languages: English
• ISSNs: 1173-9126

Abstract

Abstract : Under traditional cointegration tests, some eligibleI ( 1 ) time series systemsX t, that are not cointegrated over a given time period, say( 0, T 1 ], sometimes test as cointegrated over sub-periods. That is, the system appears to have a stationary linear structureζ ′ X t for certain vectorζ in the period0 < t ≤ T 1 . Understanding the dynamics between cointegration test power and restricted sample size that causes this inversion of results is a crucial issue when forecasting over extended future time periods. In this paper, we consider non-cointegrated systems that are closely related to collinear systems. We apply a residual based procedure to such systems and establish a criterion for making the decision whether or notX t can be continuously accepted asI ( 0 ) fort > T 1 whenX t was accepted asI ( 0 ) fort ≤ T 1 .