Mixed signals among tests for cointegration
Bibliographic record
Abstract
Abstract This paper illustrates that, under the null hypothesis of no cointegration, the correlation of p‐values from a single‐equation residual‐based test (i.e., ADF or $\widehat{Z}_{\alpha}$ ) with a system‐based test (trace or maximum eigenvalue) is very low even as the sample size gets large. With data‐generating processes under the null or ‘near’ it, the two types of tests can yield virtually any combination of p‐values regardless of sample size. As a practical matter, we also conduct tests for cointegration on 132 data sets from 34 studies appearing in this Journal and find substantial differences in p‐values for the same data set. Copyright © 2004 John Wiley & Sons, Ltd.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.087 | 0.482 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.003 | 0.002 |
| Bibliometrics | 0.007 | 0.008 |
| Science and technology studies | 0.001 | 0.005 |
| Scholarly communication | 0.008 | 0.009 |
| Open science | 0.003 | 0.005 |
| Research integrity | 0.003 | 0.004 |
| Insufficient payload (model declined to judge) | 0.009 | 0.001 |
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 itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".