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  • A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests 

    Boswijk, H. Peter; Lucas, Andre; Taylor, Nick (Amsterdam : Tinbergen Institute, 1999-02-18)
    This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the familiar Gaussian basedtests of Johansen, we also consider tests based on non-Gaussianquasi-likelihoods. ...
  • SETS, Arbitrage Activity, and Stock Price Dynamics 

    Taylor, Nick; Dijk, Dick van; Franses, Philip Hans; Lucas, André (Amsterdam : Tinbergen Institute, 1999-02-12)
    This paper provides an empirical description of the relationshipbetween the trading system operated by a stockexchange and the transaction costs faced by heterogeneous investors who use the exchange. The recent introduction ...