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Detecting the Best Performing Time-Variant Cointegration Test Using the Consumption Function |
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| รหัสดีโอไอ | |
| Creator | Abdul Waheed, Abdul Rashid, Shahid Akbar |
| Title | Detecting the Best Performing Time-Variant Cointegration Test Using the Consumption Function |
| Contributor | - |
| Publisher | TuEngr Group |
| Publication Year | 2564 |
| Journal Title | International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies |
| Journal Vol. | 12 |
| Journal No. | 4 |
| Page no. | 12A4Q: 1-5 |
| Keyword | Null cointegration, Time Invariant, Time-Variant, Consumption Function, Fourier flexible form (FFF) function, Lagrange Multiplier (LM) test. |
| URL Website | http://TuEngr.com/Vol12_4.html |
| Website title | ITJEMAST V12(4) 2021 @ TuEngr.com |
| ISSN | 2228-9860 |
| Abstract | An empirical evaluation of five time-variant tests has been made to identify the best-performing cointegration test. According to our results, the majority of the time-varying cointegration tests achieve superior to capture the presence of a long-run relationship for the considered consumption function. However, among all tests, a single test with almost capturing the 100% existence of the long-run relationship is recognized to be the utmost powerful for all model specifications. While a time-varying cointegration test with weak performance to capture the presence of cointegration is identified to be the worst performer test at all specifications. |
