Title of article
Cointegration and the joint confirmation hypothesis
Author/Authors
Vasco J. Gabriel، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
9
From page
17
To page
25
Abstract
In this paper, the discussion concerning the joint use of unit root and stationarity tests is extended to the case of cointegration. Critical values for testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this approach.
Keywords
Cointegration , Joint confirmation hypothesis , Monte Carlo simulations
Journal title
Economics Letters
Serial Year
2003
Journal title
Economics Letters
Record number
435078
Link To Document