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Testing for Cointegration: The Effects of Mis-Specifying the Lag Length

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  • Bewley, R.
  • Yang, M.

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  • Bewley, R. & Yang, M., 1993. "Testing for Cointegration: The Effects of Mis-Specifying the Lag Length," Papers 93-18, New South Wales - School of Economics.
    • Handle: RePEc:fth:nesowa:93-18
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    References listed on IDEAS

    as
    1. Hall, S G, 1991. "The Effect of Varying Length VAR Models on the Maximum Likelihood Estimates of Cointegrating Vectors," Scottish Journal of Political Economy, Scottish Economic Society, vol. 38(4), pages 317-323, November.
    2. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    3. Muscatelli, Vito Antonio & Hurn, A Stan, 1992. "Cointegration and Dynamic Time Series Models," Journal of Economic Surveys, Wiley Blackwell, vol. 6(1), pages 1-43.
    4. Bewley, R. & Yang, M., 1993. "Testing for Cointegration within the Box-Tiao Procedure," Papers 93-12, New South Wales - School of Economics.
    5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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    Cited by:

    1. Shintani, Mototsugu, 2001. "A simple cointegrating rank test without vector autoregression," Journal of Econometrics, Elsevier, vol. 105(2), pages 337-362, December.
    2. Richard Fu & Marco Pagani, 2012. "On the cointegration of international stock indices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 463-480, April.
    3. Theodore Lianos & Stilianos Fountas, 1997. "Cointegration Tests of the Profit-maximising Equilibrium in Greek Manufacturing: 1958-91," International Review of Applied Economics, Taylor & Francis Journals, vol. 11(3), pages 439-449.
    4. Ho, Mun S & Sorensen, Bent E, 1996. "Finding Cointegration Rank in High Dimensional Systems Using the Johansen Test: An Illustration Using Data Based Monte Carlo Simulations," The Review of Economics and Statistics, MIT Press, vol. 78(4), pages 726-732, November.

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    Keywords

    cointegration ; econometrics;

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