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Testing for Cointegration: The Effects of Mis-Specifying the Lag Length

  • Bewley, R.
  • Yang, M.

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Paper provided by New South Wales - School of Economics in its series Papers with number 93-18.

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Length: 9 pages
Date of creation: 1993
Date of revision:
Handle: RePEc:fth:nesowa:93-18
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  1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  2. Muscatelli, Vito Antonio & Hurn, A Stan, 1992. " Cointegration and Dynamic Time Series Models," Journal of Economic Surveys, Wiley Blackwell, vol. 6(1), pages 1-43.
  3. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  4. Bewley, R. & Yang, M., 1993. "Testing for Cointegration within the Box-Tiao Procedure," Papers 93-12, New South Wales - School of Economics.
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