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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| Title | Reconsidering cointegration in international finance : three case studies of size distortion in finite samples / by Marie-Josée Godbout and Simon van Norden. |
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| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
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| Other formats | Physical text-[English] |
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| Description | 34p.references, tables |
| ISSN | 1701-9397 |
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