On the Size and Power of System Tests for Cointegration
It is argued that size distortions and power properties of likelihood based tests for cointegration are so poor in many small sample situstions that alternative are necessary for analysing typical macroeconomic relationships.
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|Date of creation:||1996|
|Date of revision:|
|Contact details of provider:|| Postal: THE UNIVERSITY OF NEW SOUTH WALES, SCHOOL OF ECONOMICS, P.O.B. 1 KENSINGTON, NEW SOUTH WALES 2033 AUSTRALIA.|
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Web page: http://www.economics.unsw.edu.au/
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