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Inference on the cointegration rank in fractionally integrated processes

Breitung, Jörg; Hassler, Uwe - 2000

depend only on the cointegration rank under the null hypothesis. The usefulness of the asymptotic theory for finite samples … generalizes to multivariate cointegration tests just as the Dickey-Fuller test does. Thus it allows to determine the cointegration …

Persistent link: https://www.econbiz.de/10009611546

Inference on the cointegration rank in fractionally integrated processes

Breitung, Jörg; Hassler, Uwe - In: Journal of econometrics 110 (2002) 2, pp. 167-185

Persistent link: https://www.econbiz.de/10001703506

Spread corrigé des risques et dynamique du taux d'intérêt à long terme : une application aux marchés allemand, américain et italien

Paladino, Giovanna; Salsecci, Gianluca - In: Economie & prévision : EP (1999) 4/5, pp. 45-62

Persistent link: https://www.econbiz.de/10001490913

Long run equilibrium relationships in international economics

Crowder, William Joseph - 1992

Persistent link: https://www.econbiz.de/10001437504

Testing for output convergence : a re-examination

Cheung, Yin-Wong; Pascual, Antonio I. Garcia - 2000

This paper investigates output convergence for the G7 countries using multivariate time series techniques. We consider both the null hypotheses of no convergence and convergence. It is shown that inferences on output convergence depend on which one of the two null hypotheses is considered....

Persistent link: https://www.econbiz.de/10009781596