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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
exaly +2 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
exaly +2 more sources
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
exaly +2 more sources
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.
Leigh Drake
exaly +2 more sources
House prices and real estate bubbles in Brazil: an analysis through Johansen cointegration
International Journal of Applied Decision Sciences, 2015Luiz Paulo Favero
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A more powerful modification of Johansen's cointegration tests
Applied Economics, 2008We apply the idea of using reversed time series to improve the power of Johansen tests. We suggest computationally simple variants of the trace and maximum eigenvalue statistics and establish their limit distributions. Both are shown, via simulation, to yield nontrivial power gains.
Steve Leybourne +2 more
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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
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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
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A Wald test of restrictions on the cointegrating space based on Johansen's estimator
Economics Letters, 1998zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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