A test of serial independence of deviations from cointegrating relations
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 92 (2006)
Issue (Month): 1 (July)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Hiroaki Chigira, 2005. "A Test of Serial Independence of Deviations from Cointegrating Relations," Hi-Stat Discussion Paper Series d04-69, Institute of Economic Research, Hitotsubashi University.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Brenner, Robin J. & Kroner, Kenneth F., 1995. "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 23-42, March.
- Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
- Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Discussion Papers in Economics at the University of Washington 0069, Department of Economics at the University of Washington.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Working Papers 0069, University of Washington, Department of Economics.
- Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics 9812001, EconWPA.
- Neil Kellard & Paul Newbold & Tony Rayner, 2001. "Evaluating currency market efficiency: are cointegration tests appropriate?," Applied Financial Economics, Taylor & Francis Journals, vol. 11(6), pages 681-691.
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