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Sumner, Michael (2004) A cautionary note on cointegration testing. Applied Economics Letters, 11 (5). pp. 275-278. ISSN 1350-4851
Full text not available from this repository.Abstract
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.
Item Type: | Article |
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Schools and Departments: | University of Sussex Business School > Economics |
Depositing User: | Michael Sumner |
Date Deposited: | 06 Feb 2012 20:12 |
Last Modified: | 03 Jul 2012 12:55 |
URI: | http://sro.sussex.ac.uk/id/eprint/24656 |