Podivinsky, Jan M. (1998) Testing misspecified cointegrating relationships. Economics Letters, 60 (1), 1-9. (doi:10.1016/S0165-1765(98)00089-5).
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Article
Abstract
The powers of various tests for cointegration are compared in an experimental design where there is a possible mismatch between the variables used in the construction of the tests and the variables entering the true cointegrating vector(s).
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Published date: 1998
Keywords:
cointegration, lr test, misspecification
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Local EPrints ID: 32899
URI: http://eprints.soton.ac.uk/id/eprint/32899
ISSN: 0165-1765
PURE UUID: 4ad9039f-59ca-4551-9d68-7a98215a2c53
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Date deposited: 17 Nov 2006
Last modified: 16 Mar 2024 02:33
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