RT Generic
T1 On the robustness of cointegration tests when series are fractionally integrated
A1 Gonzalo, Jesús
A1 Lee, Tae-Hwy
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB This paper shows, analytically and numerically, the effects of a misspecification in the degree of integration on testing for cointegration. Johansen LR tests tend to find too much spurious cointegration while the Engle-Granger test shows a more robust performance than the LR tests.
YR 1996
FD 1996-01
LK https://hdl.handle.net/10016/4542
UL https://hdl.handle.net/10016/4542
LA eng
DS e-Archivo
RD 2 may. 2024