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A cautionary note on cointegration testing
journal contribution
posted on 2023-06-08, 05:24 authored by Michael SumnerInferences 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.
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Publication status
- Published
Journal
Applied Economics LettersISSN
1350-4851Publisher
RoutledgeIssue
5Volume
11Page range
275-278Department affiliated with
- Economics Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2012-02-06Usage metrics
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