Testing for multicointegration

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dc.contributor.author Engsted, Tom
dc.contributor.author Gonzalo, Jesús
dc.contributor.author Haldrup, Niels
dc.date.accessioned 2008-10-16T12:18:45Z
dc.date.available 2008-10-16T12:18:45Z
dc.date.issued 1997-11-14
dc.identifier.bibliographicCitation Economics Letters, November 1997, vol. 56, nº 3, p. 259-266
dc.identifier.issn 0165-1765
dc.identifier.uri http://hdl.handle.net/10016/750
dc.description.abstract We suggest how to redefine the multicointegration model of Granger and Lee (1990) in terms of an I(2) system and subsequently propose a one-step procedure for estimation and inference which will have favourable statistical properties compared to the two-step procedure suggested by Granger and Lee. With respect to the single equation residual based cointegration procedure for I(2) systems we tabulate new critical values that are necessary to accommodate the presence of deterministic components.
dc.format.mimetype application/pdf
dc.format.mimetype text/plain
dc.language.iso eng
dc.language.iso eng
dc.publisher Elsevier
dc.subject.other Cointegration
dc.subject.other Multicointegration
dc.subject.other I(2) processes
dc.title Testing for multicointegration
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/S0165-1765(97)00167-5
dc.subject.eciencia Economía
dc.identifier.doi 10.1016/S0165-1765(97)00167-5
dc.rights.accessRights openAccess
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