Response surfaces for an F-test for cointegration

Paul Turner ()

Applied Economics Letters, 2006, vol. 13, issue 8, 479-482

Abstract: This study builds on earlier work by Kanioura and Turner (2005) in generating response surfaces for critical values for an F-test for cointegration based on an error-correction relationship between a set of variables of interest. It also builds on work by Pesaran et al. (2001) in generating response surfaces for the critical bounds of this test generated by the possibility that there are cointegrating relationships between the variables on the right hand side of the error-correction equation.

Date: 2006
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DOI: 10.1080/13504850500401726

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