Extended critical values for a simple test of cointegration

Applied Economics Letters

Volumn 3, Issue 3, 1996, Pages 155-157

  Sephton, Peter S ^a  

^a UNIVERSITY OF NEW BRUNSWICK   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040328021     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/135048596356564     Document Type: Article

References (5)

1. Baillie, R. T. and Pecchenino, R. A. (1991) The search for equilibrium relationships in international finance: the case of the monetary mode, Journal of International Money and Finance, 10, 582-93.
2. Kumar, M. and Sephton, P. S. (1994) Equilibrium real exchange rates and economic performance in developing countries, mimeo.
3. Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. and Shin, Y. (1992) Testing the null hypothesis of a stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159-78.
4. Leybourne, S. J. and McCabe, B. P. M. (1993) A simple test for cointegration, Oxford Bulletin of Economics and Statistics, 55, 97-103.
5. Phillips, P. C. B. and Perron, P. (1988) Testing for a unit root in time series regression, Biometrika, 75, 335-46.