Cointegration and the joint confirmation hypothesis

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dc.contributor.authorGabriel, Vasco J.
dc.date.accessioned2005-05-05T09:53:02Z
dc.date.available2005-05-05T09:53:02Z
dc.date.issued2001-10
dc.description.abstractRecent papers by Charemza and Syczewska (1998) and Carrion, Sansó and Ortuño (2001) focused on the joint use of unit root and stationarity tests. In this paper, the discussion 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 procedure.eng
dc.identifier.urihttps://hdl.handle.net/1822/1437
dc.language.isoengeng
dc.publisherUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)eng
dc.relation.ispartofseriesNIPE Working Paper series ; 12eng
dc.rightsopenAccesseng
dc.subjectCointegrationeng
dc.subjectJoint confirmation hypothesiseng
dc.subjectMonte Carlo simulationseng
dc.titleCointegration and the joint confirmation hypothesiseng
dc.typeworkingPapereng
dspace.entity.typePublicationen

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