Reconsidering cointegration in international finance : three case studies of size distortion in finite samples / by Marie-Josée Godbout and Simon van Norden. : FB3-2/97-1E-PDF

This paper reconsiders several recently published but controversial results about the behaviour of exchange rates. In particular, it explores finite-sample problems in the application of cointegration tests and shows how these may have affected the conclusions of recent research. It also demonstrates how simple simulation methods may be used to check the robustness of cointegration tests in particular applied settings, and provides information on the potential sources of size distortion in these tests.--Abstract

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Publication information
Department/Agency Bank of Canada.
Title Reconsidering cointegration in international finance : three case studies of size distortion in finite samples / by Marie-Josée Godbout and Simon van Norden.
Series title Bank of Canada working paper1701-939797-1
Publication type Series - View Master Record
Language [English]
Format Electronic
Electronic document
Other formats Paper-[English]
Note(s) "This paper reconsiders several recently published but controversial results about the behaviour of exchange rates. In particular, it explores finite-sample problems in the application of cointegration tests and shows how these may have affected the conclusions of recent research. It also demonstrates how simple simulation methods may be used to check the robustness of cointegration tests in particular applied settings, and provides information on the potential sources of size distortion in these tests."--Abstract.
The ISBN (0-662-25314-0) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication.
Résumé en français.
Publishing information Ottawa - Ontario : Bank of Canada January 1997.
Description 34p.references, tables
ISSN 1701-9397
Catalogue number
  • FB3-2/97-1E-PDF
Subject terms International finance
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