Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/77224 
Year of Publication: 
1998
Series/Report no.: 
Technical Report No. 1998,42
Publisher: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Abstract: 
This paper is concerned with testing the null hypothesis of no cointegration among I(1) variables when the cointegration residuals are I(d) with 0 < d <1. This possibility is entertained with increasing frequency in many applications, (see e.g. Cheung and Lai 1993 Baillie and Bollerslev 1994 Booth and Tse 1995 or Baillie 1996 for examples. We consider the power of various cointegration tests both for the stationary case d < 5 and for the nonstationary case d > 5.
Document Type: 
Working Paper

Files in This Item:
File
Size
432.56 kB
202.27 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.