Residual Based Tests for Cointegration with GLS Detrended Data
AbstractWe propose residual based tests for cointegration using local GLS detrending (Elliott, Rothemberg and Stock (1996), ERS) to eliminate separately the deterministic components in the series. We consider two cases, one where only a constant is included and one where a constant and a time trend are included.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by University of Ottawa, Department of Economics in its series Working Papers with number 0004e.
Length: 31 pages
Date of creation: 2000
Date of revision:
Contact details of provider:
Postal: PO Box 450, Station A, Ottawa, Ontario, K1N 6N5
Phone: (613) 562-5753
Fax: (613) 562-5999
Web page: http://www.socialsciences.uottawa.ca/eco/eng/index.asp
More information through EDIRC
ECONOMETRICS ; ECONOMIC MODELS;
Find related papers by JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- repec:ebl:ecbull:v:3:y:2005:i:9:p:1-8 is not listed on IDEAS
- Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun, 2012.
"Real Interest Rate Persistence in South Africa: Evidence and Implications,"
17/2012, Stellenbosch University, Department of Economics.
- Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun, 2012. "Real Interest Rate Persistence in South Africa: Evidence and Implications," Working Papers 201204, University of Pretoria, Department of Economics.
- Alex Maynard, 2003. "Testing for Forward-Rate Unbiasedness: On Regression in Levels and in Returns," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 313-327, May.
- repec:ebl:ecbull:v:3:y:2007:i:64:p:1-18 is not listed on IDEAS
- Steven Cook, 2009. "A re-examination of the stationarity of inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 1047-1053.
- Kwapil, Claudia & Scharler, Johann, 2010.
"Interest rate pass-through, monetary policy rules and macroeconomic stability,"
Journal of International Money and Finance,
Elsevier, vol. 29(2), pages 236-251, March.
- Scharler, Johann & Kwapil, Claudia, 2007. "Interest Rate Pass-Through, Monetary Policy Rules and Macroeconomic Stability," Working Papers 118, Oesterreichische Nationalbank (Austrian Central Bank).
- Claudia Kwapil & Johann Scharler, 2007. "Interest Rate Pass-Through, Monetary Policy Rules and Macroeconomic Stability," Money Macro and Finance (MMF) Research Group Conference 2006 65, Money Macro and Finance Research Group.
- Douglas Hodgson & Aylin Seçkin, 2012.
"Dynamic price dependence of Canadian and international art markets: an empirical analysis,"
Springer, vol. 43(2), pages 867-890, October.
- Douglas James Hodgson & Aylin Seckin, 2011. "Dynamic Price Dependence of Canadian and International Art Markets: An Empirical Analysis," CIRANO Working Papers 2011s-14, CIRANO.
- Shyh-Wei Chen, 2007. "Evidence of the Long-Run Neutrality of Money: The Case of South Korea and Taiwan," Economics Bulletin, AccessEcon, vol. 3(64), pages 1-18.
- Christopher J. Neely & David E. Rapach, 2008.
"Real interest rate persistence: evidence and implications,"
Federal Reserve Bank of St. Louis, issue Nov, pages 609-642.
- Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Working Papers 2008-018, Federal Reserve Bank of St. Louis.
- Juan Jiménez-Martin & M. Robles-Fernandez, 2010. "PPP: Delusion or Reality? Evidence from a Nonlinear Analysis," Open Economies Review, Springer, vol. 21(5), pages 679-704, November.
- Daiki Maki, 2005. "Asymmetric adjustment of the equilibrium relationship between the nominal interest rate and inflation rate," Economics Bulletin, AccessEcon, vol. 3(9), pages 1-8.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Diane Ritchot).
If references are entirely missing, you can add them using this form.