No-Cointegration Test Based on Fractional Differencing: Some Monte Carlo Results
This paper examines the use of the t-statistic in the Geweke-Porter-Hudak regression for the estimation of the fractional differencing parameter as a test for cointegration. The critical values of the test statistic are estimated using Monte Carlo methods. The results confirm that the test will over...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1999
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/314 |
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| Institution: | Singapore Management University |
| Language: | English |