Weighted symmetric tests for cointegration based on residual

Research output: Contribution to journalArticlepeer-review

Abstract

Weighted symmetric estimation of Pantula et al. (1994) and Shin and So(1997) is employed to improve powers of residual-based tests for cointegration. The augmented Dickey-Fuller tests and the semiparametric tests are considered. A Monte Carlo investigation reveals that tests based on the weighted symmetric estimator have better powers than those based on the ordinary least squares estimator. Limiting distributions of the weighted symmetric tests are derived.

Original languageEnglish
Pages (from-to)179-195
Number of pages17
JournalCommunications in Statistics - Theory and Methods
Volume28
Issue number1
DOIs
StatePublished - 1999

Bibliographical note

Funding Information:
is Curator and Lockwood Professor of Historical Archaeology at the Florida Museum of Natural History, University of Florida. His research focuses on Native American engagements with European colonialism in southeastern North America. He has been involved in a sustained study of Indian towns and English forts on the Carolina frontier. In a collaborative project with the Chickasaw Nation, he is also exploring the complex interactions between the Chickasaw, English, Spanish, and French in Mississippi. With funding from the National Endowment for the Humanities, Cobb is also developing an online archaeological database for the Franciscan missions of La Florida.

Funding Information:
We want to thank all the participants to the SAA session in Vancouver and the additional contributors to this volume, as well as session discussants Craig N. Cipolla and Neal Ferris. We are grateful for the thoughtful comments and useful suggestions made by two anonymous reviewers of this volume, as well as the support and guidance offered to us by Brill Publishing in realizing this project. The final preparation stages of this work were supported by a Fellowship from “The Netherlands Institute for Advanced Study in the Humanities and Social Sciences (NIAS)” awarded to Corinne L. Hofman. Finally, we would like to thank Konrad Antczak, Valeria Corona, Andrzej Antczak, and Arie Boomert for their help with the Spanish-English translations and Melissa Riesen for proofreading the English texts. Menno Hoogland is acknowledged for his help with many of the figures and great thanks to Emma de Mooij for her excellent help with the editorial work.

Funding Information:
The present volume is the outcome of the session entitled ‘Material Encounters and Indigenous Transformations in the Early Colonial Americas’ organized at the 82nd Annual Meeting of the Society for American Archaeology (SAA) in Vancouver, British Columbia, Canada, from March 29–April 2, 2017. The session was organized in the context of the Synergy project nexus1492: New World Encounters in a Globalizing World financially supported by the European Union’s Seventh Framework Programme (FP7/2007-2013) / erc-nexus1492 (grant agreement n° 319209) and directed by Prof. Dr. Corinne L. Hofman, and the NWO PhDs in the Humanities project Values and Valuables (PGW-13-02) carried out by Floris W.M. Keehnen. The aim of the session was to bring together scholars working with the topic of early colonial encounters in the Americas from a material culture perspective, particularly based on novel field data, and to contribute to global dialogues about the archaeology of colonialism.

Funding Information:
is a PhD Candidate at the Faculty of Archaeology, Leiden University, The Netherlands. Funded by a grant from the Netherlands Organisation for Scientific Research (NWO), he investigates indigenous Caribbean attitudes towards European-introduced material culture in early colonial times (AD 1492–1550). His research interests include the archaeology and ethnohistory of the Caribbean, indigenous value systems, colonial encounters, and trade and exchange.

Keywords

  • Cointegrating regression
  • Cointegration
  • Unit root
  • Weighted symmetric estimator

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