Some effects of lagged relationship on the cointegration inferences in small samples
A Monte Carlo simulation is performed in order to investigate the effects of lagged relationship on the cointegration inference in a single equation. Given a small data sample the standard application of Engle–Granger cointegration testing procedure is significantly affected by the presence of lag...
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2004-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
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| Online Access: | https://www.journals.vu.lt/LMR/article/view/32086 |