Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 소병수 | - |
dc.date.accessioned | 2016-12-06T02:12:21Z | - |
dc.date.available | 2016-12-06T02:12:21Z | - |
dc.date.issued | 2008 | - |
dc.identifier.issn | 1350-4851 | - |
dc.identifier.other | OAK-5110 | - |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/232974 | - |
dc.description.abstract | We propose new tests for cointegration based on signs of the residuals of the conventional t-test. Our tests have the limiting normal distribution under the null hypothesis and are robust to heavy tailed disturbances. A Monte-Carlo simulation shows the new tests have a stable size property and are locally more powerful than that of Engle and Granger (1987) for heavy tailed error distribution. | - |
dc.language | English | - |
dc.title | A new robust sign test for cointegration | - |
dc.type | Article | - |
dc.relation.issue | 12 | - |
dc.relation.volume | 15 | - |
dc.relation.index | SSCI | - |
dc.relation.index | SCOPUS | - |
dc.relation.startpage | 971 | - |
dc.relation.lastpage | 974 | - |
dc.relation.journaltitle | Applied Economics Letters | - |
dc.identifier.doi | 10.1080/13504850600972287 | - |
dc.identifier.wosid | WOS:000259761900013 | - |
dc.identifier.scopusid | 2-s2.0-53749101692 | - |
dc.author.google | Oh Y. | - |
dc.author.google | So B.S. | - |
dc.contributor.scopusid | 소병수(7005199584) | - |
dc.date.modifydate | 20211102105704 | - |