Partial Cointegration

This paper proposes a simple procedure to test the hypothesis of no cointegration against both threshold cointegration and an intermediate possibility that we call partial cointegration. Asymptotic theory is devel- oped, the power of the proposed test is analysed through simulations and an empirical example is provided.

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Year of publication:	2005-11
Authors:	Krishnakumar, Jaya ; Neto, David
Institutions:	Institut d'Economie et Econométrie, Université de Genève

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Extent:	application/pdf application/postscript
Series:	Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva.
Type of publication:	Book / Working Paper
Language:	English
Notes:	25 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005687136