This article discusses the properties of the univariate Dickey-Fuller test and the Johansen test for the cointegrating rank when there exist additive outlying observations in the time series. We ...
This paper provides densities and finite sample critical values for the single-equation error correction statistic for testing cointegration. Graphs and response ...
Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the ...
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