Response surfaces for an F-test for cointegration
This study builds on earlier work by Kanioura and Turner (2005) in generating response surfaces for critical values for an F-test for cointegration based on an error-correction relationship between a set of variables of interest. It also builds on work by Pesaran et al. (2001) in generating response surfaces for the critical bounds of this test generated by the possibility that there are cointegrating relationships between the variables on the right hand side of the error-correction equation.
Volume (Year): 13 (2006)
Issue (Month): 8 ()
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- Mills, Terence C. & Pentecost, Eric J., 2001. "The real exchange rate and the output response in four EU accession countries," Emerging Markets Review, Elsevier, vol. 2(4), pages 418-430, December.
- M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
- Athina Kanioura & Paul Turner, 2005. "Critical values for an F-test for cointegration in a multivariate model," Applied Economics, Taylor & Francis Journals, vol. 37(3), pages 265-270.
- Jeroen J. M. Kremers & Neil R. Ericsson & Juan J. Dolado, 1992.
"The power of cointegration tests,"
International Finance Discussion Papers
431, Board of Governors of the Federal Reserve System (U.S.).
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