The Power of Single Equation Tests for Cointegration when the Cointegrating Vector
نویسندگان
چکیده
3330. Phone: (206) 543-6715; FAX: (206) 685-7477; email: [email protected]. A Preliminary version of this paper was presented at the Seventh World Congress of the Econometric Society in Tokyo, Japan and at the NBER-NSF Time Series Conference in Cambridge, MA (November, 1995). Partial research support was generously provided by the University of Washington Graduate Research Fund. The author thanks Neil Ericsson, Charles Engel, Bruce Hansen, Charles Nelson, Richard Startz and Timothy Vogelsang for helpful comments and suggestions. The usual disclaimer applies. The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified*
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تاریخ انتشار 1996