REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES

Michael Jansson () and Niels Haldrup ()

Econometric Theory, 2002, vol. 18, issue 06, pages 1309-1335

Abstract: This paper proposes a notion of near cointegration and generalizes several existing results from the cointegration literature to the case of near cointegration. In particular, the properties of conventional cointegration methods under near cointegration are characterized, thereby investigating the robustness of cointegration methods. In addition, we obtain local asymptotic power functions of five cointegration tests that take cointegration as the null hypothesis.

Date: 2002
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466602186026 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:18:y:2002:i:06:p:1309-1335_18

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().