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
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.571666&sl=1
| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | Reconsidering cointegration in international finance : three case studies of size distortion in finite samples / by Marie-Josée Godbout and Simon van Norden. |
| Titre de la série | Bank of Canada working paper1701-939797-1 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Autres formats offerts | Papier-[Anglais] |
| 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. |
| Information sur la publication | Ottawa - Ontario : Bank of Canada January 1997. |
| Description | 34p.references, tables |
| ISSN | 1701-9397 |
| Numéro de catalogue |
|
| Descripteurs | International finance |