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Examining the robustness of cointegration analysis under weighted symmetric estimation

Cook, Steven; Vougas, Dimitrios V. - In: Applied economics letters 14 (2007) 10/12, pp. 711-714

Persistent link: https://www.econbiz.de/10003588760

A Direct Test for Cointegration between a Pair of Time Series

Leybourne, Stephen J.; Newbold, Paul; Vougas, Dimitrios; … - 2004

In this paper we introduce a new test of the null hypothesis of no cointegration between a pair of time series. For a very simple generating model, our test compares favourably with the Engle-Granger/Dickey-Fuller test and the Johansen trace test. Indeed, shortcomings of the former motivated the...

Persistent link: https://www.econbiz.de/10014117504

Long-run and short-run co-movement in UK consumption and income

Cook, Steven - In: Economics letters 67 (2000) 1, pp. 11-13

Persistent link: https://www.econbiz.de/10001463491

Frequency domain and time series properties of asymmetric error correction terms

Cook, Steven - In: Applied economics 32 (2000) 3, pp. 297-304

Persistent link: https://www.econbiz.de/10001488632

A sensitivity analysis of threshold determination for asymmetric error correction models

Cook, Steven - In: Applied economics letters 10 (2003) 10, pp. 611-616

Persistent link: https://www.econbiz.de/10001801907

Spurious rejection by cointegration tests incorporating structural change in the cointegrating relationship

Cook, Steven - In: Applied economics letters 11 (2004) 14, pp. 879-884

Persistent link: https://www.econbiz.de/10002437902

The power of single equation tests for cointegration

Cook, Steven - In: Applied economics letters 13 (2006) 5, pp. 265-267

Persistent link: https://www.econbiz.de/10003320420

Econometric analysis of interest rate pass-through

Cook, Steven - In: Applied financial economics letters 4 (2008) 4/6, pp. 249-251

Persistent link: https://www.econbiz.de/10003807569

Threshold adjustment in the long-run relationship between stock prices and economic activity

Cook, Steven - In: Applied financial economics letters 3 (2007) 4/6, pp. 243-246

Persistent link: https://www.econbiz.de/10003604873

Finite-sample power properties of threshold cointegration tests

Cook, Steven - In: Applied economics letters 15 (2008) 1/3, pp. 27-30

Persistent link: https://www.econbiz.de/10003724925

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