Testy kointegracji dla szeregów I(2), I(1) - Testy Hansena

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Ewa Syczewska

Abstrakt
Hansen tests, used for testing stability of cointegration relation, can be applied to cointegration regression in which dependent variable is I(1) and both explanatory variables are I(2) cointegrated to I(1). This kind of model describes e.g. real exchange rates. As a result of Monte Carlo experiment properties of test statistics are compared and tables of critical values are presented.

Article Details

Jak cytować
Syczewska, E. (2000). Testy kointegracji dla szeregów I(2), I(1) - Testy Hansena. Zeszyty Naukowe SGGW - Ekonomika I Organizacja Gospodarki Żywnościowej, (42), 135–148. https://doi.org/10.22630/EIOGZ.2000.42.79
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