A1614
Title: Residual-based tests for cointegration involving bounded stochastic processes
Authors: Josep Lluis Carrion-i-Silvestre - Universitat de Barcelona (Spain) [presenting]
Abstract: The proposal is to cointegrate test statistics that account for the fact that some of the variables in the system are bounded. A generalized least squares-based estimation technique is implemented to improve the power properties of test statistics, which implies the use of a non-centrality parameter that considers the bounded nature of the variables.
