A looser cointegration concept using fractional integration parameters and quantification of market responsiveness (JSPI 2002)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
H.D. Vinod A looser cointegration concept using fractional integration parameters and quantification of market responsiveness JSPI 2002 2 399 - 410 - -

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
0 - not available online - 0 - not available online unit root type tests Time series 2 monthly data sets one on stock market dividends and prices, and the other on US wages and prices USA S

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Jennifer Lee Replication of Vinod's fractional cointegration in JSPI and porting to R IJEB 2005 4 (2) - - - 3 - reproduction (new methods) 4 - partially successful 2 - raw data can be used to replicate a dataset that is not substantially different from the final dataset used for the publication - -

References

DOI: 10.1016/S0378-3758(01)00147-1 IDEAS: - EconPapers: -


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