Results 201 to 210 of about 5,155 (224)
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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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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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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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Prediction error of Johansen cointegration residuals for structural health monitoring
Mechanical Systems and Signal Processing, 2021Mohsen Mousavi, Amir H Gandomi
exaly
Communications in Statistics Case Studies Data Analysis and Applications, 2021
Olivier Habimana, Kristofer Mansson
exaly
Olivier Habimana, Kristofer Mansson
exaly
Johansen's test for cointegration [PDF]
Stata Technical Bulletin, 1995 Ken Heinecke, Charles Morris
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2018
The purpose of this dissertation is to determine whether the validation of crucial empirical results on causality relationships between stock returns and macroeconomic variables arising from advanced markets is still accurate when applying to developing ones, such as the Vietnamese market. The main method is the Vector Error Correction Model (VECM) and
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The purpose of this dissertation is to determine whether the validation of crucial empirical results on causality relationships between stock returns and macroeconomic variables arising from advanced markets is still accurate when applying to developing ones, such as the Vietnamese market. The main method is the Vector Error Correction Model (VECM) and
openaire +1 more source