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
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=9.613565&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 | Working paper1192-543497-1 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Papier |
| Autres formats offerts | Électronique-[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. Résumés en français |
| Information sur la publication | Ottawa - Ontario : Bank of Canada 1997. |
| Reliure | Softcover |
| Description | 27p. : references, tables ; 28 cm. |
| ISBN | 0-662-25314-0 |
| ISSN | 1192-5434 |
| Numéro de catalogue |
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| Descripteurs | International finance |