Asymptotic Properties of Residual Based Tests for Cointegration
This paper develops an asymptotic theory for residual based tests for cointegration. Attention is given to the augmented Dickey-Fuller (ADF) test and the Z(subscript alpha) and ...
Publications
3 shownCointegration and Tests of Purchasing Power Parity
Nonstationarity in the levels of spot exchange rates and domestic and foreign price indices makes the use of conventional tests of the absolute version of purchasing power parit...
Frequent Co-Authors
Researcher Info
- h-index
- 3
- Publications
- 3
- Citations
- 2,464
- Institution
- University of Maryland, College Park
External Links
Impact Metrics
h-index
3
h-index: Number of publications with at least h citations each.