Results 201 to 210 of about 32,224 (224)

OPTIMIZATION OF DAMAGE FEATURES CONTAMINATED BY NONSTATIONARY COLORED NOISE ALGORITHMS USING JOHANSEN COINTEGRATION

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, ULRIKE DACKERMANN, AMIR H. GANDOMI   +2 more
openaire   +1 more source

Comparison of the Anderson-Rubin test for overidentification and the Johansen test for cointegration [PDF]

, 2001
In this paper we discuss the similarity between the Anderson-Rubin test for overidentification in a Simultaneous Equations Model and the Johansen test for cointegration in a Vector Autoregressive model. The similar structure of the two models is shown to be important in this respect.
Hoogerheide, L.F., van Dijk, H.K.
openaire   +2 more sources

Comparison of Box—Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models

Journal of Econometrics, 1994
Abstract 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, Orden, David, Yang, Minxian, Fisher, Lance A.   +3 more
openaire   +1 more source

Interpretation of cointegration relations–comments on “estimating systems of trending variables”by s⊘ren johansen

Econometric Reviews, 1994
exaly   +2 more sources

Analysis of Factors Affecting Power Grid Investment Based on Johansen Cointegration Analysis Theory

2019
The 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, Kaihui Nan, Qinggang Yang, Jianfeng Zhang, Hong Chen, Xinyan Zhang   +5 more
openaire   +1 more source

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.
openaire  

Stationarity and cointegration tests: Comparison of Engle - Granger and Johansen methodologies

1997
      
openaire   +2 more sources

Wage Growth and Inflation in the United States: Further Evidence from Johansen's Cointegration Approach

The American Economist, 1997
This paper examines the relationship between wage growth and inflation in the United States. It has been hypothesized that an autonomous wage change represent a significant component of inflation determination. We adopted the recent technique of unit-root testing and Johansen's maximum likelihood procedure to show that, although, wage growth has some ...
openaire   +1 more source

Generalized VECM formulation and cointegrating rank determination by Johansen method

2011
This paper discusses the issues on what representation can be formulated based on vector autoregressions and how the cointegrating rank can be determined by the well-known Johansen method when the valid derivation of the conventional VECM is not possible.
openaire   +2 more sources

A wavelet-based approach for Johansen’s likelihood ratio test for cointegration in the presence of measurement errors: An application to CO2 emissions and real GDP data

Communications in Statistics Case Studies Data Analysis and Applications, 2021
Olivier Habimana, Kristofer Månsson
exaly