Cointegration and the joint confirmation hypothesis

Bibliographic Details
Main Author: Gabriel, Vasco J.
Publication Date: 2003
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: https://hdl.handle.net/1822/1489
Summary: 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.
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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.ElsevierUniversidade do MinhoGabriel, Vasco J.2003-012003-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://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:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-04-12T04:26:12Zoai:repositorium.sdum.uminho.pt:1822/1489Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T15:10:15.327537Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
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 https://hdl.handle.net/1822/1489
url https://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
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
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reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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