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A Test of Serial Independence of Deviations from Cointegrating Relations

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Hiroaki Chigira
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Paper provided by Institute of Economic Research, Hitotsubashi University in its series Hi-Stat Discussion Paper Series with number d04-69.

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Date of creation: Jan 2005
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Handle: RePEc:hst:hstdps:d04-69

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  1. 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.
  2. Kellard, Neil & Newbold, Paul & Rayner, Tony, 2001. "Evaluating Currency Market Efficiency: Are Cointegration Tests Appropriate?," Applied Financial Economics, Taylor and Francis Journals, vol. 11(6), pages 681-91, December. [Downloadable!] (restricted)
  3. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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