Critical Values for the Žα-Phillips-Ouliaris Test for Cointegration
✍ Scribed by Alfred A. Haug
- Book ID
- 115232779
- Publisher
- John Wiley and Sons
- Year
- 1992
- Tongue
- English
- Weight
- 368 KB
- Volume
- 54
- Category
- Article
- ISSN
- 0140-5543
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📜 SIMILAR VOLUMES
## Abstract This paper presents Monte Carlo simulations for the Johansen cointegration test which indicate that the critical values applied in a number of econometrics software packages are inappropriate. This is due to confusion in the specification of the deterministic terms included in the vecto
Consider a sample of size n ¿ 2 from a normal distribution with mean . In the average equivalence test the hypothesis | | ¿ is tested versus | | 6 . In this paper the critical value 0 ¡ t( ; s; n) ¡ of the average equivalence test is discussed, i.e. the hypothesis | | ¿ is rejected if the observed s