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Mathematical finance / Statistical tests / Parametric statistics / Cointegration / Johansen test / T-statistic / Vector autoregression / Regression analysis / Autoregressive conditional heteroskedasticity / Statistics / Econometrics / Time series analysis


Econometrics Journal (2002), volume 5, pp. 285–318. Distributions of error correction tests for cointegration N EIL R. E RICSSON† AND JAMES G. M AC K INNON‡ † Stop
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Document Date: 2003-01-08 10:39:32

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City

Malden / Oxford / /

Company

Ericsson / Blackwell Publishers Ltd / /

Country

United Kingdom / United States / /

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Facility

Queen’s University / /

IndustryTerm

analytical solution / empirical applications / /

Organization

Federal Reserve Board / Department of Economics / Royal Economic Society / Division of International Finance / Queen’s University / Kingston / /

Person

JAMES G. M AC / /

Position

researcher / /

ProgrammingLanguage

DC / C / K / Fortran / L / /

ProvinceOrState

Massachusetts / /

Technology

simulation / /

URL

www.econ.queensu.ca/faculty / /

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