C15 - Statistical Simulation Methods: General - Bank of Canada
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2024-03-29T04:47:07+00:00
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Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples
https://www.bankofcanada.ca/1997/01/working-paper-1997-1/
This paper reconsiders several recently published but controversial results about the behaviour of exchange rates. In particular, it explores finite-sample problems in the application of cointegration tests and shows how these may have affected the conclusions of recent research.
1997-01-01T11:27:57+00:00
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Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples
1997-01-01
Econometric and statistical methods
Working Paper 1997-1
https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp97-1.pdf
Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples
Marie-Josée Godbout
Simon van Norden
January 1997
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