Distributions of Error Correction Tests for Cointegration

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  • Author : Neil R. Ericsson
  • Publisher : Unknown
  • Pages : 48 pages
  • ISBN :
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Download or Read online Distributions of Error Correction Tests for Cointegration full in PDF, ePub and kindle. this book written by Neil R. Ericsson and published by Unknown which was released on 10 April 1999 with total page 48 pages. We cannot guarantee that Distributions of Error Correction Tests for Cointegration book is available in the library, click Get Book button and read full online book in your kindle, tablet, IPAD, PC or mobile whenever and wherever You Like. This paper provides cumulative distribution functions, densities, and finite sample critical values for the single-equation error correction statistic for testing cointegration. Graphs and response surfaces summarize extensive Monte Carlo simulations and highlight simple dependencies of the statistic's quantiles on the number of variables in the error correction model, the choice of deterministic components, and the estimation sample size. The response surfaces provide a convenient way for calculating finite sample critical values at standard levels; and a computer program, freely available over the Internet, can be used to calculate both critical values and p-values. Three empirical examples illustrate these tools.

Distributions of Error Correction Tests for Cointegration

Distributions of Error Correction Tests for Cointegration
  • Author : Neil R. Ericsson
  • Publisher : Unknown
  • Release : 10 April 1999
GET THIS BOOK Distributions of Error Correction Tests for Cointegration

This paper provides cumulative distribution functions, densities, and finite sample critical values for the single-equation error correction statistic for testing cointegration. Graphs and response surfaces summarize extensive Monte Carlo simulations and highlight simple dependencies of the statistic's quantiles on the number of variables in the error correction model, the choice of deterministic components, and the estimation sample size. The response surfaces provide a convenient way for calculating finite sample critical values at standard levels; and a computer program, freely available

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