Testing misspecified cointegrating relationships
Economics LettersPublished 1 July 1998
Jan M. Podivinsky
Citations41
SJR quartileQ2
SJR score0.76
SNIP0.98
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Abstract
The powers of various tests for cointegration are compared in an experimental design where there is a possible mismatch between the variables used in the construction of the tests and the variables entering the true cointegrating vector(s).
Keywords
Economics, Econometrics and Finance
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