00000nam##2200000za#4500 9.571666 CaOODSP 20211126112844 cr ||||||||||| 150406|1997||||xxc|||||o f|0| 0 eng|d 1701-9397 CaOODSP eng n-cn--- FB3-2/97-1E-PDF Bank of Canada. Reconsidering cointegration in international finance : [electronic resource] three case studies of size distortion in finite samples / by Marie-Josée Godbout and Simon van Norden. Ottawa - Ontario : Bank of Canada January 1997. 34p. references, tables Bank of Canada working paper 1701-9397 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. The ISBN (0-662-25314-0) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication. 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 Résumé en français. 11-19-Supp 2011-09-23 International finance gcpds Godbout, Marie-Josée van Norden, Simon Reconsidering cointegration in international finance : (CaOODSP)9.613565 Working paper (Bank of Canada) 1701-9397 97-1 (CaOODSP)9.504604 http://publications.gc.ca PDF 196 KB https://publications.gc.ca/collections/Collection/FB3-2-97-1E.pdf 97-1