Lai, K. and M. Lai (1991), A cointegration test for market efficiency, Journal o f Futures Markets, 11, 567-575. Home/Search Document Not in Database Summary Related Articles |
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The Forward Rate Unbiasedness Hypothesis Reexamined.. - Delcoure, Barkoulas, al. (Correct)
....specifications with respect to treatment of the constant term and lag length structures, Luintel and Paudyal (1998) find robust evidence of cointegration between t k S and t f but they reject the unitary cointegrating vector in the t k S , t f ( cointegrating relation. Copeland (1991) and Lai and Lai (1991) reject the joint null of 0 = 0 and 1 = 1 in (4) in a cointegration analysis. In this paper, we reexamine the FRUH using a new multivariate (panel) unitroot test recently proposed by Taylor and Sarno (1998) referred to as the Johansen likelihood ratio (JLR) test. We motivate the relevance of ....
Lai, K. and M. Lai (1991), A cointegration test for market efficiency, Journal o f Futures Markets, 11, 567-575.
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