Banerjee, Anindya (contributor); … - 2008
that the FECM can provide a good modelling choice, even
though the best test of its performance is with real economic data … series, using a standard
ADF test with AIC or BIC lag-length selection. The interesting issue is whether and how many … residuals, or when using the maximum eigenvalue version of the test.
The fit of the resulting ECM model, which corresponds to …