1Department of Mathematical Sciences, College of Natural Sciences, Redeemer’s University, Ede, Osun State, Nigeria
American Journal of Applied Mathematics and Statistics.
2018,
Vol. 6 No. 4, 121-125
DOI: 10.12691/ajams-6-4-1
Copyright © 2018 Science and Education PublishingCite 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.
Correspondence to: Alayande Semiu Ayinla, Department of Mathematical Sciences, College of Natural Sciences, Redeemer’s University, Ede, Osun State, Nigeria. Email:
alayandesa@run.edu.ngAbstract
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