Author(s):
Gabriel, Vasco J. 
Date: 2001
Persistent ID: http://hdl.handle.net/1822/1437
Origin: RepositóriUM - Universidade do Minho
Subject(s): Cointegration; Joint confirmation hypothesis; Monte Carlo simulations
Document details
Cointegration and the joint confirmation hypothesis
Description
Recent papers by Charemza and Syczewska (1998) and Carrion, Sansó and Ortuño (2001) focused on the joint use of unit root and stationarity tests. In this paper, the discussion is extended to the case of cointegration. Critical values for testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this procedure.
Recent papers by Charemza and Syczewska (1998) and Carrion, Sansó and Ortuño (2001) focused on the joint use of unit root and stationarity tests. In this paper, the discussion is extended to the case of cointegration. Critical values for testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this procedure.
Document Type
Research paper
Language English
Language English
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