Further Evidence on the Size and Power of the Bierens and Johansen Cointegration Procedures
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Bibliographic record
Abstract
Although both the Johansen (1991, 1994) trace test and Bierens (1997a, b) nonparametric lambda-min test for cointegration have good size properties in Monte Carlo studies by Hubrich, Lutkepohl, and Saikkonen (2001) and Boswijk, Lucas, and Taylor (2000), the Bierens test has very low power. In contrast, Bierens reports good power for his procedure. Meanwhile, Hubrich et al. and Boswijk et al. do not include Bierens' companion method for estimating the number of cointegrating vectors, nor do they investigate the effect of serial correlation on Bierens'' test. In the present paper, inclusion of the estimation step does not significantly degrade size of the Bierens procedure, even with serial correlation, but power is not improved. Serial correlation does degrade the size of the Johansen test, but it remains superior. Analysis of Bierens'' (1997b) Monte Carlo results suggests that their indication of high power reflects the test''s lack of scale invariance.
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Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.001 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it