Response surfaces for an F-test for cointegration
AbstractThis study builds on earlier work by Kanioura and Turner (2005) in generating response surfaces for critical values for an F-test for cointegration based on an error-correction relationship between a set of variables of interest. It also builds on work by Pesaran et al. (2001) in generating response surfaces for the critical bounds of this test generated by the possibility that there are cointegrating relationships between the variables on the right hand side of the error-correction equation.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 13 (2006)
Issue (Month): 8 ()
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Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
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.:
- Mills, Terence C. & Pentecost, Eric J., 2001. "The real exchange rate and the output response in four EU accession countries," Emerging Markets Review, Elsevier, vol. 2(4), pages 418-430, December.
- Dolado, Juan José & Banerjee, Anindya & Mestre, Ricardo, . "Error-correction Mechanism Tests for Cointegration in a Single-equation Framework," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/3275, Universidad Carlos III de Madrid.
- Athina Kanioura & Paul Turner, 2005. "Critical values for an F-test for cointegration in a multivariate model," Applied Economics, Taylor and Francis Journals, vol. 37(3), pages 265-270.
- Jeroen J.M. Kremers & Neil R. Ericsson & Juan J. Dolado, 1992.
"The power of cointegration tests,"
International Finance Discussion Papers
431, Board of Governors of the Federal Reserve System (U.S.).
- Dolado, Juan José & Ericsson, N.R. & Kremers, J.J.M., 1992. "The Power of Cointegration Tests," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/3319, Universidad Carlos III de Madrid.
- M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
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