CRITICAL-VALUES FOR THE (Z)OVER-CAP-ALPHA-PHILLIPS-OULIARIS TEST FOR COINTEGRATION

被引:22
作者
HAUG, AA
机构
关键词
D O I
10.1111/j.1468-0084.1992.tb00014.x
中图分类号
F [经济];
学科分类号
02 ;
摘要
引用
收藏
页码:473 / 480
页数:8
相关论文
共 18 条
[1]   HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX ESTIMATION [J].
ANDREWS, DWK .
ECONOMETRICA, 1991, 59 (03) :817-858
[2]  
BANERJEE A, 1986, OXFORD B ECON STAT, V48, P253
[3]  
BLANGIEWICZ M, 1990, OXFORD B ECON STAT, V52, P303
[4]   STATISTICAL TREATMENT OF CENSORED DATA .1. FUNDAMENTAL FORMULAE [J].
DAVID, FN ;
JOHNSON, NL .
BIOMETRIKA, 1954, 41 (1-2) :228-240
[5]   COINTEGRATION AND ERROR CORRECTION - REPRESENTATION, ESTIMATION, AND TESTING [J].
ENGLE, RF ;
GRANGER, CWJ .
ECONOMETRICA, 1987, 55 (02) :251-276
[6]  
GONZALO J, 1991, 8955 U CAL DISC PAP
[7]   SOME PROPERTIES OF TIME-SERIES DATA AND THEIR USE IN ECONOMETRIC-MODEL SPECIFICATION [J].
GRANGER, CWJ .
JOURNAL OF ECONOMETRICS, 1981, 16 (01) :121-130
[8]  
GREGORY AW, 1991, 811 QUEENS U DISC PA
[9]  
HANSEN B, 1990, UNPUB POWERFUL SIMPL
[10]  
HAUG AA, 1991, 915 U SASK DISC PAP