The purpose of this research is to investigate the power of various often-used cointegration tests against the fractionally cointegrated alternaive from Monte Carlo simulation.
According to the simulation results, the Saikkonen¡¦s Infinite VAR model is most adequate cointegration test.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0726100-134413 |
| Date | 26 July 2000 |
| Creators | Lin, Shou-Ghao |
| Contributors | none |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0726100-134413 |
| Rights | nofulltext, Copyright information available at source archive |
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