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Economics Letters
Volumn 82, Issue 1, 2004, Pages 63-69
The power of residual-based tests for cointegration when residuals are fractionally integrated
Author keywords

Cointegration; Long memory; Power
Indexed keywords

EID: 0348233965     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2002.03.001     Document Type: Article
Times cited : (6)
References (10)
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  • 2
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    • (1995) Journal of Futures Markets , vol.15 , Issue.5 , pp. 573-587
    • Booth, G.1    Tse, Y.2
  • 4
    • 0040952907 scopus 로고    scopus 로고
    • Residual-based test for fractional cointegration: A Monte Carlo study
    • Dittmann I. Residual-based test for fractional cointegration: a Monte Carlo study Journal of Time Series Analysis 21 2000 615-647
    • (2000) Journal of Time Series Analysis , vol.21 , pp. 615-647
    • Dittmann, I.1
  • 5
    • 0348140356 scopus 로고    scopus 로고
    • Fractional cointegration of voting and non-voting shares
    • Dittmann I. Fractional cointegration of voting and non-voting shares Applied Financial Economics 11 2001 321-332
    • (2001) Applied Financial Economics , vol.11 , pp. 321-332
    • Dittmann, I.1
  • 6
    • 21344476815 scopus 로고
    • On the power of unit root tests against fractional alternatives
    • Hassler U. Wolters J. On the power of unit root tests against fractional alternatives Economics Letters 45 1994 1-5
    • (1994) Economics Letters , vol.45 , pp. 1-5
    • Hassler, U.1    Wolters, J.2
  • 7
    • 0033411128 scopus 로고    scopus 로고
    • On asymptotic inference in cointegrated time series with fractionally integrated errors
    • Jeganathan P. On asymptotic inference in cointegrated time series with fractionally integrated errors Econometric Theory 15 1999 583-621
    • (1999) Econometric Theory , vol.15 , pp. 583-621
    • Jeganathan, P.1
  • 8
    • 0040097730 scopus 로고    scopus 로고
    • Fractional integration and the Augmented Dickey Fuller test
    • Krämer W. Fractional integration and the Augmented Dickey Fuller test Economics Letters 61 1998 269-272
    • (1998) Economics Letters , vol.61 , pp. 269-272
    • Krämer, W.1
  • 9
    • 0000784320 scopus 로고
    • Asymptotic properties of residual based tests for cointegration
    • Phillips P.C.B. Ouliaris S. Asymptotic properties of residual based tests for cointegration Econometrica 58 1990 165-193
    • (1990) Econometrica , vol.58 , pp. 165-193
    • Phillips, P.C.B.1    Ouliaris, S.2
  • 10
    • 0001616542 scopus 로고
    • The fractional unit root distribution
    • Sowell F. The fractional unit root distribution Econometrica 58 1990 495-505
    • (1990) Econometrica , vol.58 , pp. 495-505
    • Sowell, F.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.