Results 191 to 200 of about 7,993 (229)

Do education, urbanization, and green growth promote life expectancy? [PDF]

Front Public Health
Zhang H, Zhan Y, Chen K.
europepmc   +1 more source

Narrative Co-Evolution in Hybrid Social Networks: A Longitudinal Computational Analysis of Confucius Institutes. [PDF]

Entropy (Basel)
Huang M, Wang JL, Zhang ZK.
europepmc   +1 more source

Generalized VECM formulation and cointegrating rank determination by Johansen method

Generalized VECM formulation and cointegrating rank determination by Johansen method
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Prediction error of Johansen cointegration residuals for structural health monitoring

Mechanical Systems and Signal Processing, 2021
Abstract A novel method for structural health monitoring under environmental and operational variations (EOV) is proposed based on the prediction errors of the Johansen cointegartion (CI) residuals using a Recurrent Neural Network (RNN). The first four natural frequency time series of the structure, identified from vibration measurements over a ...
Mohsen Mousavi, Amir H Gandomi
exaly   +2 more sources

A note on Johansen's cointegration procedure when trends are present

Empirical Economics, 1993
This 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, Campbell John Y   +2 more
exaly   +2 more sources

The effect of spillover on the Johansen tests for cointegration: a Monte Carlo analysis

International Journal of Computational Economics and Econometrics, 2010
This 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, Kristofer Mansson, Ghazi Shukur   +2 more
exaly   +2 more sources

A new criteria for selecting the optimum lags in Johansen's cointegration technique

Applied Economics, 2003
Several 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, Taggert J Brooks   +1 more
exaly   +2 more sources

FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION

Oxford Bulletin of Economics and Statistics, 1993
This 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
exaly   +2 more sources

Further evidence on the size and power of the Bierens and Johansen cointegration procedures [PDF]

Economics Bulletin, 2003
Although both the Johansen (1991, 1994) trace test and Bierens (1997a,b) nonparametric lambda-min test for cointegration have good size properties in Monte Carlo studies by Hubrich, Lutkepohl, and Saikkonen (2001) and Boswijk, Lucas, and Taylor (2000), the Bierens test has very low power.
David O. Cushman
openaire   +1 more source

Modelling UK house prices using cointegration: an application of the Johansen technique

Applied Economics, 1993
This 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.
Leigh Drake
exaly   +2 more sources