Residual Based Tests for Cointegration with GLS Detrended Data.

We propose residual based tests for cointegration using local GLS detrending (Elliott, Rothemberg and Stock (1996), ERS) to eliminate separately the deterministic components in the series. We consider two cases, one where only a constant is included and one where a constant and a time trend are included.

MoreLess

Year of publication:	2000
Authors:	Perron, P. ; Rodriguez, G.
Institutions:	Département d'Économie / Department of Economics, Université d'Ottawa / University of Ottawa
Subject:	ECONOMETRICS \| ECONOMIC MODELS

Check Google Scholar |

More access options

In German libraries (KVK)

I need help

More details

Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	31 pages
Classification:	C2 - Econometric Methods: Single Equation Models ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005368922