References
References
- Akaike , H . 1974 . A new look at the statistical model identification . IEEE Transactions on Automatic Control , 19 : 716 – 23 .
- Banerjee , A , Dolado , JJ , Hendry , DF and Smith , GW . 1986 . Exploring equilibrium relationships in econometrics through static models: some Monte Carlo evidence . Oxford Bulletin of Economics and Statistics , 48 : 253 – 77 .
- Bewley , R and Yang , M . 1998 . On the size and power of system tests for cointegration . Review of Economics and Statistics , 80 : 675 – 9 .
- Boswijk HP 1989 Estimation and testing for cointegration with trended variables: a comparison of a static and a dynamic regression procedure Report AE 12/89 University of Amsterdam
- Cheung , Y and Lai , KS . 1993 . Finite-sample sizes of Johansen's likelihood ratio tests for cointegration . Oxford Bulletin of Economics and Statistics , 55 : 313 – 28 .
- Engle , RF and Granger , CWJ . 1987 . Co-integration and error correction: representation, estimation, and testing . Econometrica , 55 : 251 – 76 .
- Haug , AA . 1996 . Tests for cointegration – a Monte Carlo comparison . Journal of Econometrics , 71 : 89 – 115 .
- Johansen , S . 1991 . Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models . Econometrica , 59 : 1551 – 80 .
- Pesavento , E . 2004 . Analytical evaluation of the power of tests for the absence of cointegration . Journal of Econometrics , 122 : 349 – 84 .
- Reinsel GC Ahn SK 1988 Asymptotic properties of the likelihood ratio test for cointegration in the nonstationary vector AR model Technical Report Department of Statistics, University of Wisconsin-Madison
- Schwarz , G . 1978 . Estimating the dimension of a model . Annals of Statistics , 6 : 461 – 4 .
- Sims , CA . 1992 . Interpreting the macroeconomic time series facts. The effect of monetary policy . European Economic Review , 36 : 975 – 1011 .
- Österholm P 2003 Testing for cointegration in misspecified systems – a Monte Carlo study of size distortions Working Paper 2003 : 21 Department of Economics, Uppsala University