Dimensionality effect in cointegration tests


Gonzalo, J. and Pitarakis, J. (1999) Dimensionality effect in cointegration tests. In, Engle, Robert F. and White, Halbert (eds.) Cointegration, Causality, and Forecasting: a Festschrift in Honour of C.W.J. Granger. Oxford, UK, Oxford University Press.

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Item Type: Book Section
ISBNs: 9780198296836 (hardback)
Related URLs:
Subjects: H Social Sciences > HA Statistics
Divisions : University Structure - Pre August 2011 > School of Social Sciences > Economics
ePrint ID: 33368
Accepted Date and Publication Date:
Status
7 October 1999Published
Date Deposited: 21 Dec 2007
Last Modified: 31 Mar 2016 11:59
URI: http://eprints.soton.ac.uk/id/eprint/33368

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