Critical values for an F-test for cointegration in a multivariate model
Critical values for an F-test for cointegration in a multivariate model
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Publisher
London: Taylor & Francis Group
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Language
English
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Publisher
London: Taylor & Francis Group
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Contents
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 compared with those of the Engle-Granger (Econometrica,...
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Full title
Critical values for an F-test for cointegration in a multivariate model
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TN_cdi_informaworld_taylorfrancis_310_1080_00036840412331315051
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_informaworld_taylorfrancis_310_1080_00036840412331315051
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ISSN
0003-6846
E-ISSN
1466-4283
DOI
10.1080/00036840412331315051
