00000nam##2200000za#4500 9.613565 CaOODSP 20211126112847 ta 150406|1997||||xxc||||| f|0| 0 eng|d 0-662-25314-0 1192-5434 CaOODSP eng n-cn--- FB3-2/97-1E Bank of Canada. Reconsidering cointegration in international finance : three case studies of size distortion in finite samples / by Marie-Josée Godbout and Simon van Norden. Ottawa - Ontario : Bank of Canada 1997. 27p. : references, tables ; 28 cm. Working paper 1192-5434 97-1 "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. 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 Softcover 97-06 1997-02-07 International finance gcpds Lalonde, René Godbout, Marie-Josée Reconsidering cointegration in international finance : (CaOODSP)9.571666 Working paper, 1192-5434 97-1 (CaOODSP)9.514622