• Title of article

    The power of residual-based tests for cointegration when residuals are fractionally integrated

  • Author/Authors

    Walter Kramer، نويسنده , , Francesc Marmol، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2004
  • Pages
    7
  • From page
    63
  • To page
    69
  • Abstract
    We establish divergence rates of various residual-based cointegration tests under fractional cointegration, and show that the power of these tests is rather poor.
  • Keywords
    Long memory , Power , Cointegration
  • Journal title
    Economics Letters
  • Serial Year
    2004
  • Journal title
    Economics Letters
  • Record number

    435326

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=435326