A test of serial independence of deviations from cointegrating relations

Research output: Contribution to journalArticle

Abstract

In this paper, we develop a method of testing whether deviations from a cointegration relationship are serially independent. Because whether deviations are serially independent is an important issue in the study of economics, the test offers benefits to practitioners.

Original languageEnglish
Pages (from-to)52-57
Number of pages6
JournalEconomics Letters
Volume92
Issue number1
DOIs
Publication statusPublished - 2006 Jul 1
Externally publishedYes

Keywords

  • Cointegration
  • Serial independence

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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