The 29 references in paper John Barkoulas, Christopher F. Baum (1996) “A Re-examination of the Fragility of Evidence from Cointegration- Based Tests of Foreign Exchange Market Efficiency” / RePEc:boc:bocoec:311

1
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Detrending, Unpublished Paper.
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Baillie, R. T. and T. Bollerslev (1989) Common Stochastic Trends in a System of
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Exchange Rates, Journal of Finance, 44, 167-181.
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Baillie, R. T. and T. Bollerslev (1994) Cointegration, Fractional Cointegration and
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Exchange Rate Dynamics, Journal of Finance, 49, 737-745.
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Bossaerts, P. (1988), Common Non-Stationary Components of Asset Prices, Journal of Economic Dynamics and Control, 12, 347-364.
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8
Cerchi, M. and A. Havenner (1988), Cointegration and Stock Prices: The Random Walk on Wall Street Revisited, Journal of Economic Dynamics and Control, 12, 333346.
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9
Cheung, Y. and K. S. Lai (1993) Finite-Sample Sizes of Johansen's Likelihood Ratio Tests for Cointegration, Oxford Bulletin of Economics and Statistics, 55, 315-328.
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10
Diebold, F. X., J. Gardeazabal and K. Yilmaz (1994) On Cointegration and Exchange
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Rate Dynamics, Journal of Finance, 49, 727-735. -14-
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Dickey, D.A. and W.A. Fuller (1979) Distribution of Estimators for Autoregressive
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Time Series with a Unit Root, Journal of the American Statistical Association, 84, 427-431.
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Dickey, D.A. and W.A. Fuller (1981) Likelihood Ratio Statistics for Autoregressive
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Time Series with a Unit Root, Econometrica, 49, 1057-1072.
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Dwyer, G. R. Jr. and M. S. Wallace (1992) Cointegration and Market Efficiency, Journal of International Money and Finance, 11, 318-327.
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Engle, R. and C.W.J. Granger (1987) Cointegration and Error-Correction:
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Hakkio, C. S. and M. Rush (1989) Market Efficiency and Cointegration: An Application to the Sterling and Deutschmark Exchange Rates, Journal of
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21
Hakkio, C. S. and M. Rush, (1991) Cointegration: How Short is the Long Run?, Journal of International Money and Finance, 10, 571-581.
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22
Johansen, S, "Statistical Analysis of Cointegration Vectors (1988) Journal of
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23
Economic Dynamics and Control, 12, 231-254.
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24
Johansen, S. and K. Juselius (1990) Maximum Likelihood Estimation and Inference on Cointegration-With Application to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 169-210. -15-
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25
Osterwald-Lenum, M. (1992) A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics, Oxford Bulletin of Economics and Statistics, 54, 461-472.
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26
Reimers, H. E. (1992) Comparisons of Tests for Multivariate Cointegration, Statistical Papers,
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27
Reinsel, G. C. and S. K. Ahn (1992) Vector Autoregressive Models with Unit Roots and Reduced Rank Structure: Estimation, Likelihood Ratio Test, and Forecasting, Journal of Time Series analysis, 13, 353-375.
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28
Sephton, P. S. (1994), Cointegration Tests on MARS, Computational Economics, 7, 23-35.
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29
Sephton, P. S. and System (EMS) which might have impacted the long-term behavior of foreign exchange rates in certain ways. A systematic investigation of the long-term effects of such events on fo
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