A test for the null of multiple cointegrating vectors

This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the OLS estimator of the full set of n cointegrating relationships in the n + k system and the OLS estimator of the corresponding relationships among first differences without making sp...

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Hlavní autor: Fernandez-Macho, J
Médium: Working paper
Vydáno: University of Oxford 2013