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Alfred A. Haug
Researcher at University of Otago
Publications - 89
Citations - 7453
Alfred A. Haug is an academic researcher from University of Otago. The author has contributed to research in topics: Cointegration & Interest rate. The author has an hindex of 28, co-authored 85 publications receiving 6803 citations. Previous affiliations of Alfred A. Haug include University of Canterbury & University of Saskatchewan.
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Numerical distribution functions of likelihood ratio tests for cointegration
TL;DR: In this article, the authors employ response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for cointegration.
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Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration
TL;DR: The authors employed response surface regressions based on simulation experments to calculate asymptotic distribution functions for the likelihood ratio tests for cointegration proposed by Johansen and provided tables of critical values that are very much more accurate than those available previously.
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Oil prices, exchange rates and emerging stock markets
TL;DR: In this paper, a structural vector autoregression model is proposed to investigate the dynamic relationship between oil prices, exchange rates and emerging market stock prices, and the model also captures stylized facts regarding movements in oil prices.
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Tests for cointegration a Monte Carlo comparison
TL;DR: In this paper, the authors compared the power and the size distortions of cointegration tests with the Monte Carlo method and found a trade-off between power and size distortions, and concluded that the Zα test performs best.
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Temporal Aggregation and the Power of Cointegration Tests: A Monte Carlo Study
TL;DR: In this article, the effect of time aggregation on the power of commonly used tests for cointegration was studied with the Monte Carlo method, and the results suggest that a higher frequency of observation can add substantially to test power.