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Unit-root tests and excess returns / by Marie-Josée Godbout and Simon van Norden.: FB3-2/96-10E

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.613318&sl=0

Publication information
Department/Agency
  • Bank of Canada.
TitleUnit-root tests and excess returns / by Marie-Josée Godbout and Simon van Norden.
Series title
  • Working paper 1192-5434 96-10
Publication typeMonograph - View Master Record
Language[English]
FormatPhysical text
Other formatsDigital text-[English]
Note(s)
  • Contents: Introduction.--Literature survey.--Evidence from tests for the number of cointegrating vectors.--Evidence from tests of the value of the cointegrating vector.--Conclusions and directions for research.--Tables.--Appendix: Maximum-likelihood test for cointegration.--References.
  • Résumés en français
Publishing information
  • Ottawa - Ontario : Bank of Canada 1996.
BindingSoftcover
Description28p. : references, tables ; 28 cm.
ISBN0-662-25018-4
ISSN1192-5434
Catalogue number
  • FB3-2/96-10E
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