The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Distributions of error correction tests for cointegration
Open accessAbstract
This paper provides densities and finite sample critical values for the single‐equation error correction statistic for testing cointegration. Graphs and response surfaces summarize extensive Monte Carlo simulations and highlight simple dependencies of the statistic's quantiles on the number of variables in the error correction model, the choice of deterministic components, and the sample size. The response surfaces provide a convenient way for calculating finite sample critical values at standard levels; and a computer program, freely available over the Internet, can be used to calculate both critical values and p‐values. Two empirical applications illustrate these tools.
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Citations
Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
Cited by
The Properties of Automatic Gets Modelling
Hendry, D. F., & Krolzig, H. (2005) · The Economic Journal · doi:10.1111/j.0013-0133.2005.00979.x · Cited by 322
Large-Scale Asset Purchases by the Federal Reserve: Did They Work?
Gagnon, J. E., Raskin, M., Remache, J., & Sack, B. P. (2010) · SSRN Electronic Journal · doi:10.2139/ssrn.1576596 · Cited by 304
Metadata
- Authors
- Ericsson, N. R., & MacKinnon, J. G.
- Venue
- The Econometrics Journal
- Publisher
- Oxford University Press (OUP)
- Published
- 2002-12
- Volume
- 5
- Issue
- 2
- Pages
- 285-318
- ISSN
- 1368-4221 (ISSN-L)
- 1368-423X
- OpenAlex
- W2102591219
- Cited by
- 320
- References
- 2
- FWCI
- 31.69
- Type
- journal article
- Language
- en
- Open access
- bronze
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- Ericsson, N. R., & MacKinnon, J. G. (2002). Distributions of error correction tests for cointegration. The Econometrics Journal. https://doi.org/10.1111/1368-423x.00085
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
