Testing for Cointegration: The Effects of Mis-Specifying the Lag Length
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Bibliographic InfoPaper provided by New South Wales - School of Economics in its series Papers with number 93-18.
Length: 9 pages
Date of creation: 1993
Date of revision:
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Postal: THE UNIVERSITY OF NEW SOUTH WALES, SCHOOL OF ECONOMICS, P.O.B. 1 KENSINGTON, NEW SOUTH WALES 2033 AUSTRALIA.
Fax: +61)-2- 9313- 6337
Web page: http://www.economics.unsw.edu.au/
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cointegration ; econometrics;
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- Mototsugu Shintani, 2000.
"A Simple Cointegrating Rank Test Without Vector Autoregression,"
Vanderbilt University Department of Economics Working Papers
0044, Vanderbilt University Department of Economics.
- Shintani, Mototsugu, 2001. "A simple cointegrating rank test without vector autoregression," Journal of Econometrics, Elsevier, vol. 105(2), pages 337-362, December.
- Richard Fu & Marco Pagani, 2012. "On the cointegration of international stock indices," Journal of Economics and Finance, Springer, vol. 36(2), pages 463-480, April.
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