Results 191 to 200 of about 31,779 (216)
Some of the next articles are maybe not open access.
A Note on Johansen’s Cointegration Procedure when Trends are Present
Empirical Economics, 1993This note discusses some issues that arise when Johansen's (1991) framework is used to analyze cointegrating relationships among variables with deterministic linear time trends. We cistinguish “stochastic” and “deterministic” cointegration, arguing that stochastic cointegration is sufficient for the existence of an error correction representation and ...
Pierre Perron, John Y. Campbell
openaire +1 more source
Booststrapped johansen tests for cointegration relationships: a graphical analysis
Journal of Statistical Computation and Simulation, 2001Using Monte Carlo methods together with the bootstrap critical values, we have studied the properties of two tests (Trace and Lmax), derived by Johansen (1988) for testing for cointegration in VAR systems. Regarding the size of the tests, the results show that both of the test methods perform satisfactorily when there are mixed stationary and ...
Panagiotis Mantalos, Ghazi Shukur
openaire +1 more source
Proceedings of the 14th International Workshop on Structural Health Monitoring, 2023
For structural health monitoring (SHM), researchers have primarily investigated the effects of signals contaminated with stationary white noise, with very few studies examining pollution caused by highly correlated nonstationary colored noise, such as Brown noise.
SAHAR SAHAHASSANI +2 more
openaire +1 more source
For structural health monitoring (SHM), researchers have primarily investigated the effects of signals contaminated with stationary white noise, with very few studies examining pollution caused by highly correlated nonstationary colored noise, such as Brown noise.
SAHAR SAHAHASSANI +2 more
openaire +1 more source
FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION
Oxford Bulletin of Economics and Statistics, 1993This study examines the finite-sample bias of S. Johansen's likelihood ratio tests for cointegration using the Monte Carlo method. Response surface analysis is employed to obtain approximations to the finite-sample critical values and illustrate the individual roles of the sample size, the dimension of the variable system, and the lag order in ...
Yin‐Wong Cheung, Kon S. Lai
openaire +1 more source
Adapting Johansen’s Estimation Method for Flexible Regime-dependent Cointegration Modelling
2011Rico Ihle Chair for Agricultural Policy Department of Agricultural Economics and Rural Development Georg-August-Universitat Gottingen Germany rihle@gwdg.de Joseph Amikuzuno Department of Agricultural Economics and Extension University for Development Studies, Nyankpala Campus, Tamale Ghana amikj26@yahoo.com Stephan von Cramon-Taubadel Chair for ...
Ihle, Rico +2 more
openaire +3 more sources
A new criteria for selecting the optimum lags in Johansen's cointegration technique
Applied Economics, 2003Several test statistics like Akaike Information Criterion (AIC) or Schwarz Bayesian Criterion (SBC) are used to select the order of Vector Autoregressive Models (VAR) in Johansen's cointegration technique, but not the appropriate cointegrating vector in case of multiple vectors.
Mohsen Bahmani-Oskooee +1 more
openaire +1 more source
Comparison of Box—Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models
Journal of Econometrics, 1994Abstract The Box—Tiao (1977) and Johansen (1988) approaches to estimating cointegrating vectors are compared and small-sample properties of the estimators are evaluated in Monte Carlo experiments for bivariate first-order models. In models without drift, the distributions of the Box—Tiao estimator are found to be less dispersed and leptokurtic in a ...
Bewley, Ronald +3 more
openaire +1 more source
The effect of spillover on the Johansen tests for cointegration: a Monte Carlo analysis
International Journal of Computational Economics and Econometrics, 2010This paper investigates the effect of spillover (i.e. causality in variance) on the Johansens tests for cointegration by conducting a Monte Carlo experiment where 16 different data generating proce ...
Panagiotis Mantalos +2 more
openaire +1 more source
Analysis of Factors Affecting Power Grid Investment Based on Johansen Cointegration Analysis Theory
2019The power grid is one of the foundations of national economic construction. Considering the future development trend of power grid and power market, and the important challenges of grid investment decision, this paper mainly studies various factors affecting grid investment from two aspects: internal and external.
Wang Zhang +5 more
openaire +1 more source
Modelling UK house prices using cointegration: an application of the Johansen technique
Applied Economics, 1993This paper provides an econometric analysis of the long-term equilibrium determination of UK house prices using the relatively recent Johansen cointegration procedure. This long-term equilibrium specification is then utilized in order to estimate a parsimonious dynamic model for UK house prices.
openaire +1 more source