Point Optimal Test for Cointegration with Unknown Variance-Covariance Matrix

Eiji Kurozumi (kurozumi@stat.hit-u.ac.jp), 英司 黒住, Yoichi Arai and 洋一 荒井

No 2005-08, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: Cointegration; point optimal test; locally best test; invariance; power envelope (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2005-11
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Citations: View citations in EconPapers (1)

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