ARDL书籍详细演示临界值计算过程.pdfVIP

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ARDL书籍详细演示临界值计算过程.pdf

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MONASH University Department of Economics Discussion Papers ISSN 1441-5429 statistics Approach to Cointegration: An Application to the Tourism Demand Model for Fiji Paresh Kumar Narayan (pit ni^o No. 02/04 Monash University Victoria 3800 Australia 2004 Paresh Kumar Narayan author. Reformulating Critical Values for the Bounds F-statistics Approach to Cointegration: An Application to the Tourism Demand Model for Fiji* Paresh Kumar Narayan Mailing Address Department of Economics (Box HE) Monash University Victoria 3800 Australia E-mail:Paresh.N aravanf5iBusEco.m onash.edu.au I thank Hashem Pesaran and Yongcheol Shin for sharing the GAUSS codes they cointegration as reported in Pesaran and Pesaran (1997) and Pesaran et al. (2001). I Australia and GriffithUniversity, where this paper was presented, are also acknowledged. Reformulating Critical Values for the Bounds F-statistics Approach to Cointegration: An Application to the Tourism Demand Model for Fiji ABSTRACT period 1970-2000, using the bounds testing approach to cointegration and error correction models. The papers main contribution is that it generates bounds F- that critical values are 35.5% higher than those reported in Pesaran et al. (2001) for 1000 observations and 17.1% higher than those reported in Pesaran and Pesaran approach to cointegration. Keywords: Fi