Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated /
We investigate the properties of Johansen's (1988, 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...
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| Natura: | Periodico |
| Lingua: | English |
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Washington, D.C. :
International Monetary Fund,
2007.
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| Serie: | IMF Working Papers; Working Paper ;
No. 2007/141 |
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| Accesso online: | Full text available on IMF |