The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified.
Year of publication: |
1996-12-02
|
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Authors: | Zivot, Eric |
Institutions: | EconWPA |
Subject: | cointegration | common factor | error correction model | local power | misspecification | near-cointegration | strong exogeneity | weak exogeneity |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - Adobe .pdf file; prepared on IBM-PC; pages: 25; figures: 25, in separate file ecmfigs.pdf 25 pages |
Classification: | C22 - Time-Series Models ; C51 - Model Construction and Estimation |
Source: |
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