The power of residual-based tests for cointegration when residuals are fractionally integrated

Walter Krämer and Francesc Marmol

No 1998,42, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: This paper is concerned with testing the null hypothesis of no cointegration among I(1) variables when the cointegration residuals are I(d) with 0 5.

Date: 1998
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: The power of residual-based tests for cointegration when residuals are fractionally integrated (2004)
Working Paper: The power of residual base tests for cointegration when residuals are fractionally integrated (1999)
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