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abnormal return aggregate share-price index AlnP Asia Pacific Share Australia Australia/New Zealand autocorrelation cointegrating regression Cointegration Testing critical value daily data Davidson and MacKinnon developed and emerging developed markets Economics and Finance eight countries emerging markets equation error process F-statistic relates F-test Foreign Exchange Market Granger causality Granger-cause Hong Kong involved testing Japan K.R. Sawyer lagged returns MacKinnon 1993 Malaysia Models Multi-Country Study necessary condition null hypothesis number of lags Pacific Share Markets pairs of countries paper predictability price process random walk regression-based tests reported in Table research design results reported semi-strong efficiency semi-strong form share-price index data Shazam Singapore/Malaysia Study of Asia test for Granger test for semi-strong test is based Test statistics testing procedure tests for cointegration tests for weak Traditional tests type of test unit root unit-root test University of Singapore University of Tasmania weak and semi-strong weak efficiency weak EMH weak form