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Residual Based Tests for Cointegration with GLS Detrended Data

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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.

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Bibliographic Info

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

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Length: 31 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:ott:wpaper:0004e

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Keywords: ECONOMETRICS ; ECONOMIC MODELS;

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