Size and power of the error correction model cointgration test. A bootstrap approach

Oxford Bulletin of Economics and Statistics

Volumn 60, Issue 2, 1998, Pages 254-255

  Mantalos, Panagiotis ^a   Shukur, Ghazi ^a  

^a LUND UNIVERSITY   (Sweden)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 17444429301     PISSN: 03059049     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (3)

1. Horowitz, J. L. (1994). 'Bootstrap-based Critical Values for the Information Matrix Test', Journal of Econometric, Vol. 61, pp. 395-411.
2. Kremers, J. J. M., Ericsson, N. R. and Dolado, J. J. (1992). 'The Power of Cointegration Tests', BULLETIN, Vol. 54, pp. 325-46.
3. Shukur, G. and Mantalos, P. (1997). 'Size and Power of the RESET Test as Applied to Systems of Equations: A Bootstrap Approach', working paper 1997:3. Department of Statistics, University of Lund, Sweden.