文章基本信息

标题：A weighted symmetric cointegration test
作者：S Cook, D Vougas
期刊名称：Discussion Paper Series / Economics Department, University of Swansea
出版年度：2005
卷号：1
出版社：University of Swansea
摘要：Weighted symmetric estimation is employed to develop a new test for cointegration. Using Monte Carlo simulation, the resulting test is shown to possess greater power than alternative existing tests.
关键词：Cointegration; Weighted symmetric estimation; Monte Carlo simulation; Test power.