The probabilities of type I and II error of null of cointegration tests: A Monte Carlo comparison

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dc.authorid0000-0002-5131-577X
dc.authorscopusid18433415200
dc.authorscopusid57397292600
dc.authorscopusid57383676100
dc.authorscopusid57398225300
dc.contributor.authorKhan, Asad ul Islam
dc.contributor.authorKhan, Asad ul Islam
dc.contributor.authorAysan, Ahmet Faruk
dc.contributor.authorGüney, İbrahim
dc.contributor.authorIsac, Nicoleta
dc.contributor.authorKhan, Asad ul Islam
dc.contributor.otherYönetim Bilimleri Fakültesi, İktisat Bölümü
dc.contributor.otherYönetim Bilimleri Fakültesi, İktisat Bölümü
dc.date.accessioned2022-01-17T12:42:24Z
dc.date.available2022-01-17T12:42:24Z
dc.date.issued2022
dc.departmentİHÜ, Yönetim Bilimleri Fakültesi, İktisat Bölümü
dc.description.abstractThis paper evaluates the performance of eight tests with null hypothesis of cointegration on basis of probabilities of type I and II errors using Monte Carlo simulations. This study uses a variety of 132 different data generations covering three cases of deterministic part and four sample sizes. The three cases of deterministic part considered are: absence of both intercept and linear time trend, presence of only the intercept and presence of both the intercept and linear time trend. It is found that all of tests have either larger or smaller probabilities of type I error and concluded that tests face either problems of over rejection or under rejection, when asymptotic critical values are used. It is also concluded that use of simulated critical values leads to controlled probability of type I error. So, the use of asymptotic critical values may be avoided, and the use of simulated critical values is highly recommended. It is found and concluded that the simple LM test based on KPSS statistic performs better than rest for all specifications of deterministic part and sample sizes.
dc.identifier.citationAysan, A. F., Güney, İ., Isac, N., Khan, A. I. (2022). The probabilities of type I and II error of null of cointegration tests: A Monte Carlo comparison. Plos One, 17(1). https://doi.org/10.1371/journal.pone.0259994
dc.identifier.doi10.1371/journal.pone.0259994
dc.identifier.issn1932-6203
dc.identifier.issue1
dc.identifier.pmid34982763
dc.identifier.scopus2-s2.0-85122310193
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1371/journal.pone.0259994
dc.identifier.urihttps://hdl.handle.net/20.500.12154/1684
dc.identifier.volume17
dc.identifier.wosWOS:000834805700003
dc.identifier.wosqualityQ2
dc.indekslendigikaynakPubMed
dc.indekslendigikaynakScopus
dc.indekslendigikaynakWeb of Science
dc.institutionauthorKhan, Asad ul Islam
dc.institutionauthorid0000-0002-5131-577X
dc.language.isoen
dc.publisherPlos One
dc.relation.ihupublicationcategory115
dc.relation.ispartofPlos One
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectCase report
dc.subjectClinical Article
dc.subjectCritical Value
dc.subjectMonte Carlo Method
dc.subjectNull Hypothesis
dc.subjectProbability
dc.titleThe probabilities of type I and II error of null of cointegration tests: A Monte Carlo comparison
dc.typeArticle
dspace.entity.typePublication
relation.isAuthorOfPublication5d56d061-267c-4b33-8b78-b50e651ee5aa
relation.isAuthorOfPublication.latestForDiscovery5d56d061-267c-4b33-8b78-b50e651ee5aa
relation.isOrgUnitOfPublication9d1809d1-3541-41aa-94ed-639736b7e16f
relation.isOrgUnitOfPublication.latestForDiscovery9d1809d1-3541-41aa-94ed-639736b7e16f

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