A Test of Serial Independence of Deviations from Cointegrating Relations
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Other versions of this item:
- Chigira, Hiroaki, 2006. "A test of serial independence of deviations from cointegrating relations," Economics Letters, Elsevier, vol. 92(1), pages 52-57, July.
References listed on IDEAS
- Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Discussion Papers in Economics at the University of Washington 0069, Department of Economics at the University of Washington.
- Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics 9812001, EconWPA.
- Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August.
- Neil Kellard & Paul Newbold & Tony Rayner, 2001. "Evaluating currency market efficiency: are cointegration tests appropriate?," Applied Financial Economics, Taylor & Francis Journals, vol. 11(6), pages 681-691.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Brenner, Robin J. & Kroner, Kenneth F., 1995. "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 23-42, March.
- Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Working Papers 0069, University of Washington, Department of Economics.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-02-20 (All new papers)
- NEP-ECM-2005-02-20 (Econometrics)
- NEP-ETS-2005-02-20 (Econometric Time Series)
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