The effects of series on cointegration inference.
Lin, Yan-Xia, McCrae, Michael (2002)
Journal of Applied Mathematics and Decision Sciences
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Displaying similar documents to “Estimation and testing of cointegration relationships with strongly seasonal monthly data”
The effects of series on cointegration inference.
On Bartlett's test for correlation between time series
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An explicit formula for the correlation coefficient in a two-dimensional AR(1) process is derived. Approximate critical values for the correlation coefficient between two one-dimensional AR(1) processes are tabulated. They are based on Bartlett’s approximation and on an asymptotic distribution derived by McGregor. The results are compared with critical values obtained from a simulation study.
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Journal of Applied Mathematics and Decision Sciences
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