References
- Büyükşahin , B. , Haigh , M. S. and Robe , M. A. 2010 . Commodities and equities: ever a ‘market of one’? . Journal of Alternative Investments , 12 : 76 – 95 .
- Dickey , D. A. and Fuller , W. A. 1981 . Likelihood ratio statistics for autoregressive time series with a unit root . Econometrica , 49 : 1057 – 72 .
- Greene , W. H. 2011 . Econometric Analysis , 7th edn , Englewood Cliffs , NJ : Prentice Hall .
- Hamilton , J. D. 1996 . Time Series Analysis , Princeton , NJ : Princeton University Press .
- Johansen , S. 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 : 231 – 54 .
- Johansen , S. 1991 . Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models . Econometrica , 59 : 1551 – 80 .
- Johansen , S. and Juselius , K. 1990 . Maximum likelihood estimation and the demand for money inference on cointegration with application . Oxford Bulletin of Economics and Statistics , 52 : 169 – 210 .
- Kwiatkowski , D. P. , Phillips , P. C. B. Schmidt , P. 1992 . Testing the null hypothesis of stationarity against the alternative of the unit root: how sure are we that economic time series are non stationary? . Journal of Econometrics , 54 : 159 – 78 .
- Lütkepohl , H. , Saikkonen , P. and Trenkler , C. 2004 . Testing for the cointegrating rank of a VAR with level shift an unknown time . Econometrica , 72 : 647 – 62 .
- Pfaff , B. 2008 . Analysis of Integrated and Cointegrated Time Series with R , New York : Springer .
- Phillips , P. C. B. and Peron , P. 1988 . Testing for a unit root in time series regression . Biometrika , 75 : 335 – 46 .
- Trenkler , C. 2003 . A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms . Economics Bulletin , 3 : 1 – 9 .
- Zeng , T. and Swanson , N. R. 1998 . Predictive evaluation of econometric forecasting models in commodity futures markets . Studies in Nonlinear Dynamics and Econometrics , 2 : 159 – 77 .