Title of article
Point optimal tests of the null hypothesis of cointegration
Author/Authors
Jansson، نويسنده , , Michael، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2005
Pages
15
From page
187
To page
201
Abstract
This paper obtains an asymptotic Gaussian power envelope for tests of the null hypothesis of cointegration. In addition, the paper proposes a feasible point optimal cointegration test whose local asymptotic power function is found to be close to the asymptotic Gaussian power envelope.
Keywords
Point optimal test , Local asymptotic power , Power envelope , Cointegration
Journal title
Journal of Econometrics
Serial Year
2005
Journal title
Journal of Econometrics
Record number
1558658
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