Author Macros FTP Data Archive Information ASA Style Guide ASA Publications Journal of Business and Economic Statistics, April 1998, Vol. These propositions are tested in six nondurable-goods industries.
All industries provide evidence of cointegration.
Fewer quasi-fixed factors are found than previous research often assumed. Estimates of cointegrating vectors provide implausible parameter estimates. Rank stability tests, with fixed or seqentially chosen breakpoints, indicate that the cointegrating matrix has unstable rank. Parameter estimates of cointegrating vectors do not provide much support for the production-smoothing model of inventories. Copyright 1998 American Statistical Association.