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Cointegration and forward and spot exchange rate regressions
Zivot, Eric - In: Journal of international money and finance 19 (2000) 6, pp. 785-812
Persistent link: https://www.econbiz.de/10001527343
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The power of single equation tests for cointegration when the cointegrating vector is prespecified
Zivot, Eric - In: Econometric theory 16 (2000) 3, pp. 407-439
Persistent link: https://www.econbiz.de/10001507494
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Threshold cointegration and nonlinear adjustment to the law of one price
Lo, Ming Chien; Zivot, Eric - In: Macroeconomic dynamics 5 (2001) 4, pp. 533-576
Persistent link: https://www.econbiz.de/10001625168
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A structural analysis of price discovery measures
Yan, Bingcheng; Zivot, Eric - In: Journal of financial markets 13 (2010) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003935472
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The Power of Single Equation Tests for Cointegration When the Cointegrating Vector is Prespecified
Zivot, Eric - 1997
In this paper I present an alternative derivation of the asymptotic distribution of Kremers, Ericsson and Dolado's (1992) conditional ECM based t-test for cointegration with a single prespecified cointegrating vector. This alternative distribution, which is identical to the distribution of...
Persistent link: https://www.econbiz.de/10014221664