{"id":"https://openalex.org/W2989881256","doi":"https://doi.org/10.1080/03610918.2019.1691229","title":"Most stringent test of null of cointegration: a Monte Carlo comparison","display_name":"Most stringent test of null of cointegration: a Monte Carlo comparison","publication_year":2019,"publication_date":"2019-11-19","ids":{"openalex":"https://openalex.org/W2989881256","doi":"https://doi.org/10.1080/03610918.2019.1691229","mag":"2989881256"},"language":"en","primary_location":{"id":"doi:10.1080/03610918.2019.1691229","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2019.1691229","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://hdl.handle.net/20.500.12154/1033","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5025822319","display_name":"Asad Ul Islam Khan","orcid":"https://orcid.org/0000-0002-5131-577X"},"institutions":[{"id":"https://openalex.org/I4210123170","display_name":"Ibn Haldun University","ror":"https://ror.org/02y5xdw18","country_code":"TR","type":"education","lineage":["https://openalex.org/I4210123170"]}],"countries":["TR"],"is_corresponding":true,"raw_author_name":"Asad ul Islam Khan","raw_affiliation_strings":["Department of Economics, Ibn Haldun University","Department of Economics, Ibn Haldun University, Istanbul, Turkey"],"affiliations":[{"raw_affiliation_string":"Department of Economics, Ibn Haldun University","institution_ids":["https://openalex.org/I4210123170"]},{"raw_affiliation_string":"Department of Economics, Ibn Haldun University, Istanbul, Turkey","institution_ids":["https://openalex.org/I4210123170"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5049042180","display_name":"Waqar Muhammad Khan","orcid":"https://orcid.org/0000-0003-0938-8075"},"institutions":[{"id":"https://openalex.org/I146840658","display_name":"University of Azad Jammu and Kashmir","ror":"https://ror.org/015566d55","country_code":"PK","type":"education","lineage":["https://openalex.org/I146840658"]}],"countries":["PK"],"is_corresponding":false,"raw_author_name":"Waqar Muhammad Khan","raw_affiliation_strings":["Department of Economics, Women University of Azad Jammu and Kashmir","Department of Economics, Women University of Azad Jammu and Kashmir, Bagh, Pakistan"],"affiliations":[{"raw_affiliation_string":"Department of Economics, Women University of Azad Jammu and Kashmir","institution_ids":["https://openalex.org/I146840658"]},{"raw_affiliation_string":"Department of Economics, Women University of Azad Jammu and Kashmir, Bagh, Pakistan","institution_ids":["https://openalex.org/I146840658"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5031568833","display_name":"Mehmood Hussan","orcid":null},"institutions":[{"id":"https://openalex.org/I121243025","display_name":"International Islamic University, Islamabad","ror":"https://ror.org/047w75g40","country_code":"PK","type":"education","lineage":["https://openalex.org/I121243025"]}],"countries":["PK"],"is_corresponding":false,"raw_author_name":"Mehmood Hussan","raw_affiliation_strings":["School of Economics, International Institute of Islamic Economics, International Islamic University Islamabad","School of Economics, International Institute of Islamic Economics, International Islamic University Islamabad, Pakistan"],"affiliations":[{"raw_affiliation_string":"School of Economics, International Institute of Islamic Economics, International Islamic University Islamabad","institution_ids":["https://openalex.org/I121243025"]},{"raw_affiliation_string":"School of Economics, International Institute of Islamic Economics, International Islamic University Islamabad, Pakistan","institution_ids":["https://openalex.org/I121243025"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5025822319"],"corresponding_institution_ids":["https://openalex.org/I4210123170"],"apc_list":null,"apc_paid":null,"fwci":1.9778,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.89152341,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"51","issue":"4","first_page":"2020","last_page":"2038"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9728999733924866,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9286999702453613,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cointegration","display_name":"Cointegration","score":0.7493658661842346},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7385236024856567},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.7016805410385132},{"id":"https://openalex.org/keywords/test-statistic","display_name":"Test statistic","score":0.6500341296195984},{"id":"https://openalex.org/keywords/null-hypothesis","display_name":"Null hypothesis","score":0.6462520360946655},{"id":"https://openalex.org/keywords/sample-size-determination","display_name":"Sample size determination","score":0.643061637878418},{"id":"https://openalex.org/keywords/null","display_name":"Null (SQL)","score":0.5812000036239624},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.5777052640914917},{"id":"https://openalex.org/keywords/statistical-hypothesis-testing","display_name":"Statistical hypothesis testing","score":0.4563809037208557},{"id":"https://openalex.org/keywords/distortion","display_name":"Distortion (music)","score":0.4230383038520813},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4125932455062866},{"id":"https://openalex.org/keywords/statistic","display_name":"Statistic","score":0.41065263748168945},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.12306180596351624}],"concepts":[{"id":"https://openalex.org/C145162277","wikidata":"https://www.wikidata.org/wiki/Q1751675","display_name":"Cointegration","level":2,"score":0.7493658661842346},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7385236024856567},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.7016805410385132},{"id":"https://openalex.org/C169857963","wikidata":"https://www.wikidata.org/wiki/Q1461038","display_name":"Test statistic","level":3,"score":0.6500341296195984},{"id":"https://openalex.org/C191988596","wikidata":"https://www.wikidata.org/wiki/Q628374","display_name":"Null hypothesis","level":2,"score":0.6462520360946655},{"id":"https://openalex.org/C129848803","wikidata":"https://www.wikidata.org/wiki/Q2564360","display_name":"Sample size determination","level":2,"score":0.643061637878418},{"id":"https://openalex.org/C203763787","wikidata":"https://www.wikidata.org/wiki/Q371029","display_name":"Null (SQL)","level":2,"score":0.5812000036239624},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.5777052640914917},{"id":"https://openalex.org/C87007009","wikidata":"https://www.wikidata.org/wiki/Q210832","display_name":"Statistical hypothesis testing","level":2,"score":0.4563809037208557},{"id":"https://openalex.org/C126780896","wikidata":"https://www.wikidata.org/wiki/Q899871","display_name":"Distortion (music)","level":4,"score":0.4230383038520813},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4125932455062866},{"id":"https://openalex.org/C89128539","wikidata":"https://www.wikidata.org/wiki/Q1949963","display_name":"Statistic","level":2,"score":0.41065263748168945},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.12306180596351624},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.0},{"id":"https://openalex.org/C194257627","wikidata":"https://www.wikidata.org/wiki/Q211554","display_name":"Amplifier","level":3,"score":0.0},{"id":"https://openalex.org/C31258907","wikidata":"https://www.wikidata.org/wiki/Q1301371","display_name":"Computer network","level":1,"score":0.0},{"id":"https://openalex.org/C2776257435","wikidata":"https://www.wikidata.org/wiki/Q1576430","display_name":"Bandwidth (computing)","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/03610918.2019.1691229","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2019.1691229","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},{"id":"pmh:oai:openaccess.ihu.edu.tr:20.500.12154/1033","is_oa":true,"landing_page_url":"https://hdl.handle.net/20.500.12154/1033","pdf_url":null,"source":{"id":"https://openalex.org/S4306402642","display_name":"Ibn Haldun University Institutional Repository (Yes)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210163141","host_organization_name":"Yes Technologies (United States)","host_organization_lineage":["https://openalex.org/I4210163141"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Article"}],"best_oa_location":{"id":"pmh:oai:openaccess.ihu.edu.tr:20.500.12154/1033","is_oa":true,"landing_page_url":"https://hdl.handle.net/20.500.12154/1033","pdf_url":null,"source":{"id":"https://openalex.org/S4306402642","display_name":"Ibn Haldun University Institutional Repository (Yes)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210163141","host_organization_name":"Yes Technologies (United States)","host_organization_lineage":["https://openalex.org/I4210163141"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Article"},"sustainable_development_goals":[{"score":0.4699999988079071,"id":"https://metadata.un.org/sdg/10","display_name":"Reduced inequalities"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":28,"referenced_works":["https://openalex.org/W828862939","https://openalex.org/W1587141723","https://openalex.org/W1588163064","https://openalex.org/W1966910378","https://openalex.org/W2022540296","https://openalex.org/W2025161033","https://openalex.org/W2027816389","https://openalex.org/W2027905563","https://openalex.org/W2042955279","https://openalex.org/W2059119852","https://openalex.org/W2064288231","https://openalex.org/W2094401071","https://openalex.org/W2096629519","https://openalex.org/W2110002822","https://openalex.org/W2110603299","https://openalex.org/W2114639238","https://openalex.org/W2126322608","https://openalex.org/W2126769996","https://openalex.org/W2136518999","https://openalex.org/W2166843037","https://openalex.org/W2167484758","https://openalex.org/W2321678803","https://openalex.org/W2338509365","https://openalex.org/W2613556357","https://openalex.org/W2900398876","https://openalex.org/W2998610210","https://openalex.org/W3123536081","https://openalex.org/W4251448448"],"related_works":["https://openalex.org/W3124117903","https://openalex.org/W3121803730","https://openalex.org/W2292334483","https://openalex.org/W4245099416","https://openalex.org/W4382599617","https://openalex.org/W2006467890","https://openalex.org/W1987208043","https://openalex.org/W2383559132","https://openalex.org/W2185794042","https://openalex.org/W2031884339"],"abstract_inverted_index":{"To":[0],"test":[1,86,98,107],"for":[2,41,112,132],"the":[3,53,65,104,122,133],"existence":[4],"of":[5,11,13,31,43,85,116],"long":[6],"run":[7],"relationship,":[8],"a":[9,38,49,57],"variety":[10],"null":[12],"cointegration":[14],"tests":[15,28,44],"have":[16],"been":[17],"developed":[18],"in":[19,64,73],"literature.":[20],"This":[21],"study":[22],"is":[23,70,87,103],"aimed":[24],"at":[25,108],"comparing":[26],"these":[27],"on":[29,100],"basis":[30],"size":[32,81,84],"and":[33,60,83,128],"power":[34,59,63],"using":[35],"stringency":[36],"criterion:":[37],"robust":[39],"technique":[40],"comparison":[42],"as":[45,119],"it":[46,120],"provides":[47],"with":[48],"single":[50],"number":[51],"representing":[52],"maximum":[54,61,123],"difference":[55,124],"between":[56],"test\u2019s":[58],"possible":[62],"entire":[66,134],"parameter":[67,135],"space.":[68,136],"It":[69],"found":[71],"that":[72],"general,":[74],"asymptotic":[75],"critical":[76,91],"values":[77,92],"tends":[78],"to":[79,126],"produce":[80],"distortion":[82],"controlled":[88],"when":[89],"simulated":[90],"are":[93],"used.":[94],"The":[95],"simple":[96],"LM":[97],"based":[99],"KPSS":[101],"statistic":[102],"most":[105],"stringent":[106],"all":[109,113],"sample":[110],"sizes":[111],"three":[114],"specifications":[115],"deterministic":[117],"component,":[118],"has":[121],"approaching":[125],"zero":[127],"lesser":[129],"than":[130],"20%":[131]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1}],"updated_date":"2026-02-08T09:19:03.324500","created_date":"2025-10-10T00:00:00"}