On The Size and Power of System Tests for Cointegration
通过蒙特卡洛实验比较了三种协整系统检验方法，发现它们在滞后长度设定和扰动项结构下表现各异，各有优劣。
System tests for cointegration proposed by Stock and Watson (1988), Johansen (1988), and Bewley and Yang (1995) are compared using Monte Carlo experiments that include overspecification of the lag length and data-generating processes with moving average disturbances. Both AIC and SIC are used to select the lag length of the approximating vector autoregressions. The three tests considered are found to have very different characteristics, and each dominates in some portion of the parameter space. © 1998 by the President and Fellows of Harvard College and the Massachusetts Institute of Technolog