Cointegration and the joint confirmation hypothesis

Detalhes bibliográficos
Autor(a) principal: Gabriel, Vasco J.
Data de Publicação: 2003
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/1822/1489
Resumo: In this paper, the discussion concerning the joint use of unit root and stationarity tests is extended to the case of cointegration. Critical values for testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this approach.
id RCAP_8de7a28aebcbfdaa7a5dc89afeb62701
oai_identifier_str oai:repositorium.sdum.uminho.pt:1822/1489
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Cointegration and the joint confirmation hypothesisCointegrationJoint confirmation hypothesisMonte Carlo simulationsJoint confirmation hypothesesSocial SciencesIn this paper, the discussion concerning the joint use of unit root and stationarity tests is extended to the case of cointegration. Critical values for testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this approach.Elsevier ScienceUniversidade do MinhoGabriel, Vasco J.2003-012003-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/1489eng"Economics Letters". ISSN 0165-1765. 78 (2003) 17-25.0165-176510.1016/S0165-1765(02)00173-8info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-21T12:11:16Zoai:repositorium.sdum.uminho.pt:1822/1489Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:03:01.633126Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Cointegration and the joint confirmation hypothesis
title Cointegration and the joint confirmation hypothesis
spellingShingle Cointegration and the joint confirmation hypothesis
Gabriel, Vasco J.
Cointegration
Joint confirmation hypothesis
Monte Carlo simulations
Joint confirmation hypotheses
Social Sciences
title_short Cointegration and the joint confirmation hypothesis
title_full Cointegration and the joint confirmation hypothesis
title_fullStr Cointegration and the joint confirmation hypothesis
title_full_unstemmed Cointegration and the joint confirmation hypothesis
title_sort Cointegration and the joint confirmation hypothesis
author Gabriel, Vasco J.
author_facet Gabriel, Vasco J.
author_role author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Gabriel, Vasco J.
dc.subject.por.fl_str_mv Cointegration
Joint confirmation hypothesis
Monte Carlo simulations
Joint confirmation hypotheses
Social Sciences
topic Cointegration
Joint confirmation hypothesis
Monte Carlo simulations
Joint confirmation hypotheses
Social Sciences
description In this paper, the discussion concerning the joint use of unit root and stationarity tests is extended to the case of cointegration. Critical values for testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this approach.
publishDate 2003
dc.date.none.fl_str_mv 2003-01
2003-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/1822/1489
url http://hdl.handle.net/1822/1489
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv "Economics Letters". ISSN 0165-1765. 78 (2003) 17-25.
0165-1765
10.1016/S0165-1765(02)00173-8
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier Science
publisher.none.fl_str_mv Elsevier Science
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799132434376163328

Registros relacionados