Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
通过蒙特卡洛模拟比较多种协整原假设检验在有限样本中的表现，发现McCabe等人的参数调整检验在功效和尺寸扭曲之间最为平衡。
Abstract The aim of this paper is to compare the relative performance of several tests for the null hypothesis of cointegration, in terms of size and power in finite samples. This is carried out using Monte Carlo simulations for a range of plausible data‐generating processes. We also analyze the impact on size and power of choosing different procedures to estimate the long run variance of the errors. We found that the parametrically adjusted test of McCabe et al. (1997) is the most well‐balanced test, displaying good power and relatively few size distortions.