Results 201 to 210 of about 7,993 (229)
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House prices and real estate bubbles in Brazil: an analysis through Johansen cointegration
International Journal of Applied Decision Sciences, 2015Luiz Paulo Lopes 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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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
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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
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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.
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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
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