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

Walter Krämer and Francesc Marmol

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

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

Keywords: Residual-Based; Cointegration; Tests; fractionally; integrated; processes (search for similar items in EconPapers)
Date: 1999-03
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Journal Article: The power of residual-based tests for cointegration when residuals are fractionally integrated (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:6301

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