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European Monetary Union : a cointegration analysis

Haug, Alfred Albert; MacKinnon, James G.; Michelis, Leo - In: Journal of international money and finance 19 (2000) 3, pp. 419-432

Persistent link: https://www.econbiz.de/10001485281

Numerical distribution functions of likelihood ratio tests for cointegration

MacKinnon, James G.; Haug, Alfred Albert; Michelis, Leo - In: Journal of applied econometrics 14 (1999) 5, pp. 563-577

Persistent link: https://www.econbiz.de/10001421501

On real interest rate persistence : the role of breaks

Haug, Alfred Albert - 2013

Persistent link: https://www.econbiz.de/10009701610

Testing linear restrictions on cointegration vectors : sizes and powers of Wald tests in finite samples

Haug, Alfred Albert - 1999

The Wald test for linear restrictions on cointegrating vectors is compared infinite samples using the Monte Carlo method. The Wald test within the vector error-correction based methods of Bewley et al (1994) and of Johansen (1991), the canonical cointegration method of Park (1992) the dynamic...

Persistent link: https://www.econbiz.de/10009793260