Testing for Cointegration: The Effects of Mis-Specifying the Lag Length
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Other versions of this item:
- Bewley, Ronald & Yang, Minxian, 1995. "Testing for cointegration: the effects of mis-specifying the lag length," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(3), pages 251-255.
References listed on IDEAS
- Bewley, R. & Yang, M., 1993. "Testing for Cointegration within the Box-Tiao Procedure," Papers 93-12, New South Wales - School of Economics.
- 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.
- 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.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Shintani, Mototsugu, 2001.
"A simple cointegrating rank test without vector autoregression,"
Journal of Econometrics,
Elsevier, vol. 105(2), pages 337-362, December.
- Mototsugu Shintani, 2000. "A Simple Cointegrating Rank Test Without Vector Autoregression," Vanderbilt University Department of Economics Working Papers 0044, Vanderbilt University Department of Economics.
- Richard Fu & Marco Pagani, 2012. "On the cointegration of international stock indices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 463-480, April.
- Ho, Mun S & Sorensen, Bent E, 1996. "Finding Cointegration Rank in High Dimensional Systems Using the Johansen Test: An Illustration Using Data Based Monte Carlo Simulations," The Review of Economics and Statistics, MIT Press, vol. 78(4), pages 726-732, November.
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Keywordscointegration ; econometrics;
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