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Critical values for an F-test for cointegration in a multivariate model

Kanioura, Athina; Turner, Paul - In: Applied economics 37 (2005) 3, pp. 265-270

Persistent link: https://www.econbiz.de/10002546515

The error correction model as a test for cointegration

Kanioura, Athina (contributor); Turner, Paul (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916023

Critical values for an F-test for cointegration in a multivariate model

Kanioura, Athina; Turner, Paul - In: Applied economics 37 (2005) 3, pp. 265-270

Persistent link: https://www.econbiz.de/10007643984

The Error Correction Model as a Test for Cointegration

Kanioura, Athina; Turner, Paul - Department of Economics, University of Sheffield - 2003

In this paper we generate critical values for a test for cointegration based on the joint significance of the levels terms in an error correction equation. We show that the appropriate critical values are higher than those derived from the standard F-distribution. We compare the power properties...

Persistent link: https://www.econbiz.de/10005463781

Critical values for an F-test for cointegration in a multivariate model

Kanioura, Athina; Turner, Paul - In: Applied Economics 37 (2005) 3, pp. 265-270

Critical values for a test for cointegration are generated based on the joint significance of the levels terms in an error-correction equation. It is shown that the appropriate critical values are higher than those derived from the standard F-distribution. The power properties of this test are...

Persistent link: https://www.econbiz.de/10005471010