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)
This paper proposes a theoretical explanation to the common empirical results in which different tes...
Structural breaks in stationary time series can induce apparent unit roots in those series. Thus, us...
Critical values for a test for cointegration are generated based on the joint significance of the le...
We evaluate by Monte Carlo simulation the empirical sizes of Johansen's likelihood ratio tests for t...
When dealing with time series that are integrated of order one, the concept of cointegration becomes...
When dealing with time series that are integrated of order one, the concept of cointegration becomes...
This paper deals with estimation and testing for cointegration when deterministic trends are present...
Structural breaks in stationary time series can induce apparent unit roots in those series. Thus, us...
This paper studies the effects of increasing the frequency of observation and the data span on the J...
This thesis examines analytically (using asymptotic theory) and via Monte Carlo simulations the effe...
Abstract. Theory often specifies a particular cointegrating vector amongst integrated variables and ...
This paper illustrates that, under the null hypothesis of no cointegration, the correlation of p–val...
Theory often specifies a particular cointegrating vector amongst integrated variables and it is ofte...
In this paper, we study the effect that different serial correlation adjustment methods can have on ...
In this paper we examine several approaches to detecting changes in the adjustment coefficients in c...
This paper proposes a theoretical explanation to the common empirical results in which different tes...
Structural breaks in stationary time series can induce apparent unit roots in those series. Thus, us...
Critical values for a test for cointegration are generated based on the joint significance of the le...
We evaluate by Monte Carlo simulation the empirical sizes of Johansen's likelihood ratio tests for t...
When dealing with time series that are integrated of order one, the concept of cointegration becomes...
When dealing with time series that are integrated of order one, the concept of cointegration becomes...
This paper deals with estimation and testing for cointegration when deterministic trends are present...
Structural breaks in stationary time series can induce apparent unit roots in those series. Thus, us...
This paper studies the effects of increasing the frequency of observation and the data span on the J...
This thesis examines analytically (using asymptotic theory) and via Monte Carlo simulations the effe...
Abstract. Theory often specifies a particular cointegrating vector amongst integrated variables and ...
This paper illustrates that, under the null hypothesis of no cointegration, the correlation of p–val...
Theory often specifies a particular cointegrating vector amongst integrated variables and it is ofte...
In this paper, we study the effect that different serial correlation adjustment methods can have on ...
In this paper we examine several approaches to detecting changes in the adjustment coefficients in c...
This paper proposes a theoretical explanation to the common empirical results in which different tes...
Structural breaks in stationary time series can induce apparent unit roots in those series. Thus, us...
Critical values for a test for cointegration are generated based on the joint significance of the le...
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