Cointegration and the joint confirmation hypothesis
AbstractRecent papers by Charemza and Syczewska (1998) and Carrion, SansÃ³ and OrtuÃ±o (2001) focused on the joint use of unit root and stationarity tests. In this paper, the discussion is extended to the case of cointegration. Critical values for testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this procedure.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 78 (2003)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Vasco J. Gabriel, 2001. "Cointegration and the joint confirmation hypothesis," NIPE Working Papers 12/2001, NIPE - Universidade do Minho.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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