We estimate a multivariate ARFIMA model to illustrate a cointegration testing methodology based on joint estimates of the fractional orders of integration of a cointegrating vector and its parent ...
This paper examines monthly OECD exchange rate data (1979-1997) using uni variate and panel data unit root tests. Some of these tests support the hypothesis of a unit root. But tests of cointegration ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback