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A cautionary note on cointegration testing

journal contribution
posted on 2023-06-08, 05:24 authored by Michael Sumner
Inferences from the Johansen procedure regarding cointegration, and the magnitude, significance and even the sign of the estimated parameters of a familiar macroeconomic relation, are shown to be extremely sensitive to the treatment of its deterministic components and to the assumed lag structure. An unrestricted error-correction model yields unambiguous inferences and performs better in a range of tests.

History

Publication status

  • Published

Journal

Applied Economics Letters

ISSN

1350-4851

Publisher

Routledge

Issue

5

Volume

11

Page range

275-278

Department affiliated with

  • Economics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-02-06

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