A comparison of Johansen and Phillips-Hansen cointegration tests of forward market efficiency

DOI10.1016/0165-1765(94)00547-FzbMATH Open0900.90144MaRDI QIDQ674069FDOQ674069

Authors: Michael J. Moore, Laurence S. Copeland 

Publication date: 28 February 1997

Published in: Economics Letters (Search for Journal in Brave)

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zbMATH Keywords

EfficiencyMaximum likelihoodCointegrationExchange ratesForward market

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Statistical analysis of cointegration vectors

Cited In (1)

• The information content of 3-month sterling futures

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