References
- Dickey , D and Fuller , W . 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
- Elliott , G , Rothenberg , T and Stock , J . 1996 . Efficient tests for an autoregressive unit root . Econometrica , 64 : 813 – 36 .
- Engle , R and Granger , C . 1987 . Cointegration and error correction: representation, estimation and testing . Econometrica , 55 : 251 – 76 .
- Kanioura , A and Turner , P . 2005 . Critical values for an F-test for cointegration in a multivariate model . Applied Economics , 37 : 265 – 70 .
- Kremers , J , Ericsson , N and Dolado , J . 1992 . The power of cointegration test . Oxford Bulletin of Economics and Statistics , 54 : 325 – 48 .
- MacKinnon , J . 1991 . “ Critical values for cointegration tests ” . In Long Run Economic Relationships , Edited by: Engle , R and Granger , C . Oxford : Oxford University Press .
- Perron , P and Rodriguez , G . 2001 . “ Residual based tests for cointegration with GLS detrended data ” . In mimeo , Department of Economics, Boston University .