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dc.contributor.authorCaner, M.en_US
dc.date.accessioned2015-07-28T11:56:20Z
dc.date.available2015-07-28T11:56:20Z
dc.date.issued1998en_US
dc.identifier.issn0304-4076
dc.identifier.urihttp://hdl.handle.net/11693/10927
dc.description.abstractThis paper develops the asymptotic theory for residual-based tests and quasi-likelihood ratio tests for cointegration under the assumption of infinite variance errors. This article extends the results of Phillips and Ouliaris (1990) and Johansen (1988, 1991) which are derived under the assumption of square-integrable errors. Here the limit laws are expressed in terms of functionals of symmetric stable laws rather than Brownian motion. Critical values of the residual-based tests of Phillips and Ouliaris (1990) and likelihood-ratio-based tests of Johansen (1991) are calculated and tabulated. We also investigate whether these tests are robust to infinite variance errors. We found that regardless of the index of stability a, the residual-based tests are more robust to infinite variance errors than the likelihood-ratio-based tests. (C) 1998 Elsevier Science S.A. All rights reserved.en_US
dc.language.isoEnglishen_US
dc.source.titleJournal of Econometricsen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/S0304-4076(97)00112-7en_US
dc.subjectSymmetric stable processen_US
dc.subjectSize distortionen_US
dc.subjectQuadratic variationen_US
dc.titleTests for cointegration with infinite variance errorsen_US
dc.typeArticleen_US
dc.departmentDepartment of Economicsen_US
dc.citation.spage155en_US
dc.citation.epage175en_US
dc.citation.volumeNumber86en_US
dc.citation.issueNumber1en_US
dc.identifier.doi10.1016/S0304-4076(97)00112-7en_US
dc.publisherElsevier BVen_US
dc.identifier.eissn1872-6895


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