Warianty tytułu
Języki publikacji
Abstrakty
The paper generalizes some cointegration tests in the case of known and unknown timing regime and other possible structural (such as level and/or time) shifts in the conditional equation. These tests are based on the Engle-Granger's procedure (CDF) and on the estimated error correction model (ECW). Taking into account requirements of the 'general to specific modelling', we allow for appearance of any fixed number of marginal equations. Consequently our response surface equation includes, apart from typical regressors, also the number of marginal equations. Therefore we are able to calculate the critical values of the considered tests in the case of any finite number of these equations
Słowa kluczowe
Wydawca
Czasopismo
Rocznik
Tom
Numer
Strony
73-83
Opis fizyczny
Rodzaj publikacji
ARTICLE
Twórcy
autor
- K. Krauze, Akademia Morska, Katedra Zarzadzania, ul. Morska 81/87, 81-225 Gdynia, Poland
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
CEJSH db identifier
05PLAAAA0038930
Identyfikator YADDA
bwmeta1.element.70509221-4bf8-311e-a701-373ed8c9bb5c