Response surfaces for an F-test for cointegration

Applied Economics Letters

Volumn 13, Issue 8, 2006, Pages 479-482

  Turner, Paul ^a  

^a LOUGHBOROUGH UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

COINTEGRATION ANALYSIS; ECONOMETRICS; ERROR CORRECTION;

EID: 33745110939     PISSN: 13504851     EISSN: 14664291     Source Type: Journal    
DOI: 10.1080/13504850500401726     Document Type: Article

References (6)

1. Banerjee, A and Dolado, J. J. and Mestre, R. (1998) Error-correction mechanism tests for cointegration in a single-equation framework Journal of Time-series Analysis, 19, pp. 267-83.
2. Kanioura, A and Turner, P. (2005) Critical values for an F-test for cointegration in a multivariate model Applied Economics, 37, pp. 265-70.
3. Kremers, J and Ericsson, N. and Dolado, J. (1992) The power of cointegration tests Oxford Bulletin of Economics and Statistics, 54, pp. 325-48.
4. MacKinnon, JG. (1991) Critical values for cointegration tests'. In Long-Run Economic Relationships. Oxford: Oxford University Press.
5. Mills, TC and Pentecost, E. J. (2001) The real exchange rate and the output response in four EU accession countries Emerging Markets Review, 2, pp. 418-30.
6. Pesaran, MH and Shin, Y. and Smith, R. J. (2001) Bounds testing approaches to the analysis of level relationships Journal of Applied Econometrics, 16, pp. 289-326.