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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awdur: Fernandez-Macho, J
Fformat: Working paper
Cyhoeddwyd: University of Oxford 2013