The power of cointegration tests against the fractional cointegration
碩士 === 國立中山大學 === 經濟學研究所 === 88 === 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 ad...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/74128372100182119635 |