Article ID Journal Published Year Pages File Type
9555384 Journal of Econometrics 2005 15 Pages PDF
Abstract
This paper obtains an asymptotic Gaussian power envelope for tests of the null hypothesis of cointegration. In addition, the paper proposes a feasible point optimal cointegration test whose local asymptotic power function is found to be close to the asymptotic Gaussian power envelope.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Point optimal tests of the null hypothesis of cointegration
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