A cautionary note on cointegration testing
Inferences from the Johansen procedure regarding cointegration, and the magnitude, significance and even the sign of the estimated parameters of a familiar macroeconomic relation, are shown to be extremely sensitive to the treatment of its deterministic components and to the assumed lag structure. An unrestricted error-correction model yields unambiguous inferences and performs better in a range of tests.
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Volume (Year): 11 (2004)
Issue (Month): 5 ()
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