Results 191 to 200 of about 5,155 (224)
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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
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
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)
Salih Katırcıoğlu
exaly +3 more sources
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)
Salih Katırcıoğlu
exaly +3 more sources
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
exaly +2 more sources
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
exaly +2 more sources
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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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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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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Empirical Economics, 2009
We investigate the properties of Johansen’s (J Econ Dyn Control 12:231–254, 1988; Econometrica 59:1551–1580, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we show that in a system with near-integrated variables, the probability of reaching ...
Erik Hjalmarsson, Pär Österholm
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We investigate the properties of Johansen’s (J Econ Dyn Control 12:231–254, 1988; Econometrica 59:1551–1580, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we show that in a system with near-integrated variables, the probability of reaching ...
Erik Hjalmarsson, Pär Österholm
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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
openaire +2 more sources