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- Sat May 25, 2013 3:40 am
- Forum: Programming
- Topic: Gregory-Hansen cointegration test
- Replies: 17
- Views: 27172
Re: Gregory-Hansen cointegration test
Dears, i am facing same problem pointed out by kakali quoted as follows. "The Za test statistics I have obtained seem to be to low to be true, also does not seem to be correct as the formula of the test statistic shows that it has a multiplier of n (sample size), so it is unlikely that the valu...