Results 181 to 190 of about 29,321 (214)
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Economics Letters, 1995
Abstract This paper tries to clarify the issues involved in comparing the use of Johansen-Juselius and Phillips-Hansen cointegration estimators in testing forward market efficiency. We present results generated by the two techniques from the dataset used by Baillie and Bollerslev.
Michael J. Moore, Laurence S. Copeland
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Abstract This paper tries to clarify the issues involved in comparing the use of Johansen-Juselius and Phillips-Hansen cointegration estimators in testing forward market efficiency. We present results generated by the two techniques from the dataset used by Baillie and Bollerslev.
Michael J. Moore, Laurence S. Copeland
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The Review of Economics and Statistics, 1996
The authors examine the ability of the Johansen (1991) test to estimate the number of unit roots in high dimensional systems. They use data based Monte Carlo methods as a simple means of evaluating the validity of inference using asymptotic critical values.
Ho, Mun S, Sorensen, Bent E
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The authors examine the ability of the Johansen (1991) test to estimate the number of unit roots in high dimensional systems. They use data based Monte Carlo methods as a simple means of evaluating the validity of inference using asymptotic critical values.
Ho, Mun S, Sorensen, Bent E
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Economics Letters, 1993
Abstract Cointegration is appropriate for testing long-run exchange rate theories such as the monetary approach, but the post-1973 floating exchange rate period may be too short. We confirm the monetary model using longer black market exchange rate series and the Johansen—Juselius cointegration method.
van den Berg, Hendrik +1 more
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Abstract Cointegration is appropriate for testing long-run exchange rate theories such as the monetary approach, but the post-1973 floating exchange rate period may be too short. We confirm the monetary model using longer black market exchange rate series and the Johansen—Juselius cointegration method.
van den Berg, Hendrik +1 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, LF, van Dijk, Herman
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Communications in Statistics - Theory and Methods, 2018
This paper discusses Johansen’s likelihood ratio tests to determine the cointegration rank under local alternative hypotheses in the vector autoregressive models (VARs) in which drift or linear tre...
Mitsuhiro Odaki, Min Li
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This paper discusses Johansen’s likelihood ratio tests to determine the cointegration rank under local alternative hypotheses in the vector autoregressive models (VARs) in which drift or linear tre...
Mitsuhiro Odaki, Min Li
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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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Tourism Management, 2009
Abstract This paper empirically revisits and investigates the tourism-led-growth (TLG) hypothesis in the case of Turkey by employing the bounds test and Johansen approach for cointegration using annual data from 1960–2006. Although Gunduz and Hatemi-J (2005; Is the tourism-led growth hypothesis valid for Turkey? Applied Economics Letters. 12, 499–504)
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Abstract This paper empirically revisits and investigates the tourism-led-growth (TLG) hypothesis in the case of Turkey by employing the bounds test and Johansen approach for cointegration using annual data from 1960–2006. Although Gunduz and Hatemi-J (2005; Is the tourism-led growth hypothesis valid for Turkey? Applied Economics Letters. 12, 499–504)
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SSRN Electronic Journal, 2018
In this article, we are investigating the effects of macroeconomic variables in terms of natural logarithmic yearly returns of general government revenues and general government total expenditures of Greece. We have applied a Vector Error Correction model, (VEC) a Granger causality and Johansen cointegration test to check for long – term relationship ...
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In this article, we are investigating the effects of macroeconomic variables in terms of natural logarithmic yearly returns of general government revenues and general government total expenditures of Greece. We have applied a Vector Error Correction model, (VEC) a Granger causality and Johansen cointegration test to check for long – term relationship ...
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Stationarity and cointegration tests: Comparison of Engle - Granger and Johansen methodologies
1997
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Integrative oncology: Addressing the global challenges of cancer prevention and treatment
Ca-A Cancer Journal for Clinicians, 2022Jun J Mao,, Msce +2 more
exaly