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Original Articles

A new robust sign test for cointegration

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Pages 971-974 | Published online: 03 Oct 2008

References

  • Engle , R. F. and Granger , C. W. J. 1987 . Co-integration and error correction: representation, estimation, and testing . Econometrica , 55 : 251 – 76 .
  • Erricsson , N. R. and MacKinnon , J. G. 2002 . Distributions of error correction tests for cointegration . Econometrics Journal , 5 : 285 – 318 .
  • Johansen , S. 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 : 231 – 54 .
  • Kremers , J. J. M. , Ericsson , N. R. and Dolado , J. J. 1992 . The power of cointegration tests . Oxford Bulletin of Economics and Statistics , 54 : 325 – 48 .
  • So , B. S. and Shin , D. W. 2001 . An invariant sign test for random walks based on recursive median adjustment . Journal of Econometrics , 102 : 197 – 229 .

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