Article ID Journal Published Year Pages File Type
5062532 Economics Letters 2006 6 Pages PDF
Abstract

In this paper, we develop a method of testing whether deviations from a cointegration relationship are serially independent. Because whether deviations are serially independent is an important issue in the study of economics, the test offers benefits to practitioners.

Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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A test of serial independence of deviations from cointegrating relations
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