Critical values for an F-test for cointegration in a multivariate model
Critical values for a test for cointegration are generated based on the joint significance of the levels terms in an error-correction equation. It is shown that the appropriate critical values are higher than those derived from the standard F-distribution. The power properties of this test are compa...
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| Main Authors: | , |
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| Format: | Default Article |
| Published: |
2005
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| Subjects: | |
| Online Access: | https://hdl.handle.net/2134/2077 |
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