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

DOI10.1016/0165-1765(94)00547-FMaRDI QIDQ674069zbMATH OpenFDO

Authors Michael J. Moore, Laurence S. Copeland

Publication date 28 February 1997

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

EfficiencyMaximum likelihoodCointegrationExchange ratesForward market

Mathematics Subject Classification ID

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

Recommendations

• Cointegration and the joint confirmation hypothesis.
• Cointegration tests with conditional heteroskedasticity.
• Econometric tests of rationality and market efficiency
• A comparison of cointegration tests
• Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends

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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