Cointegration Testing in Single Error-Correction Equations in the Presence of Linear Time Trends

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dc.contributor.author Hassler, Uwe
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2010-01-13T13:19:55Z
dc.date.available 2010-01-13T13:19:55Z
dc.date.issued 1999-10
dc.identifier.uri http://hdl.handle.net/10016/6371
dc.description.abstract Banerjee, Dolado and Mestre (J. Time Ser. Anal. 19 (1998) 267-283) introduce an error-correction test for the null hypothesis of no cointegration. The present paper supplements their work. They provide critical values for regressions with and without detrending. Here it is shown that the latter are not appropriate if the series display linear trends. This does not mean that detrending is required. Correct percentiles are suggested for the case that series follow linear time trends but tests are based on regressions without detrending. They are readily available from the literature.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries 99-79-31
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other integrated series with drift
dc.subject.other effect of not detrending
dc.title Cointegration Testing in Single Error-Correction Equations in the Presence of Linear Time Trends
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
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