A Simple Test for Cointegration
This note proposes a simple test for cointegration in which, unlike conventional test procedures, the presence of cointegration forms the null hypothesis to be tested. The test statistic is constructed under the assumption of normality and then it's asymptotic distribution is derived under considerably more general conditions. Selected critical values of this distribution, computed from Monte Carlo simulations, are presented. Copyright 1994 by Blackwell Publishing Ltd
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Volume (Year): 56 (1994)
Issue (Month): 1 (February)
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