Advanced Search
MyIDEAS: Login to save this paper or follow this series

Residual Based Tests for Cointegration with GLS Detrended Data

Contents:

Author Info

  • Perron, P.
  • Rodriguez, G.

Abstract

We 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 Info

To 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 Info

Paper provided by University of Ottawa, Department of Economics in its series Working Papers with number 0004e.

as in new window
Length: 31 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:ott:wpaper:0004e

Contact details of provider:
Postal: PO Box 450, Station A, Ottawa, Ontario, K1N 6N5
Phone: (613) 562-5753
Fax: (613) 562-5999
Email:
Web page: http://www.socialsciences.uottawa.ca/eco/eng/index.asp
More information through EDIRC

Related research

Keywords: ECONOMETRICS ; ECONOMIC MODELS;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. 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.
  2. Tsen, Wong Hock, 2011. "The real exchange rate determination: An empirical investigation," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 800-811, October.
  3. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 609-642.
  4. 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.
  5. Sonali Das & Rangan Gupta & Patrick Kanda & Monique Reid & Christian Tipoy & Mulatu Zerihun, 2014. "Real interest rate persistence in South Africa: evidence and implications," Economic Change and Restructuring, Springer, vol. 47(1), pages 41-62, February.
  6. 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.
  7. Douglas Hodgson & Aylin Seçkin, 2012. "Dynamic price dependence of Canadian and international art markets: an empirical analysis," Empirical Economics, Springer, vol. 43(2), pages 867-890, October.
  8. repec:ebl:ecbull:v:3:y:2005:i:9:p:1-8 is not listed on IDEAS
  9. 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.
  10. 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.
  11. repec:ebl:ecbull:v:3:y:2007:i:64:p:1-18 is not listed on IDEAS
  12. Claudia Kwapil & Johann Scharler, 2007. "Interest Rate Pass-Through, Monetary Policy Rules and Macroeconomic Stability," Working Papers 118, Oesterreichische Nationalbank (Austrian Central Bank).

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ott:wpaper:0004e. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Diane Ritchot).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.