Kurozumi, Eiji; Arai, Yoichi - Institute of Economic Research, Hitotsubashi University - 2006
hypothesis of cointegration with reduced
size distortion
Eiji Kurozumi1 Yoichi Arai2
Department of Economics Faculty of Economics … Economics, Hitotsubashi University, Naka 2-1, Kunitachi, Tokyo 186-8601, Japan. E-mail:
kurozumi@stat.hit-u.ac.jp
2Arai … in regressions with I(1) processes.
Journal of Business and Economic Statistics 10, 321{335.
[6] Hansen, B. E. (1992b …