Testing misspecified cointegrating relationships

被引：14

作者：

Podivinsky, JM ^{[1
]}

机构：

[1] Univ Southampton, Dept Econ, Southampton SO17 1BJ, Hants, England

[2] Monash Univ, Dept Econometr, Clayton, Vic 3168, Australia

来源：

ECONOMICS LETTERS | 1998年 / 60卷 / 01期

关键词：

cointegration; LR test; misspecification;

D O I：

10.1016/S0165-1765(98)00089-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The powers of various tests for cointegration are compared in an experimental design where there is a possible mismatch between the variables used in the construction of the tests and the variables entering the true cointegrating vector(s). (C) 1998 Elsevier Science S.A.

引用

页码：1 / 9

页数：9

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